DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS

By Robert A. Jarrow, D. Lando, Fan Yu. 2005

220 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a9015aacba477e3798893594a4a8900998d32a88

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

In Finance

Citations in the corpus

Stochastic mortality under measure changes (2010, unknown): “While diversification can be achieved by dividing a fixed amount of capital across a large number of policies (and in this case the risk associatedwith the timing of death is indeed diversifiable; see Jarrow et al. (2005)), risk pooling involves writing a larger and larger number of policies.”
Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates (2001, unknown): “…and Mann (2001), Ericsson, Jacobs, and Oviedo-Helfenberger (2004), Ericsson and Renault (2005), He (2000), Janosi, Jarrow, and Yildirim (2002), Jarrow, Lando, and Yu (2005), Liu, Longstaff, and Mandell (2006), Longstaff, Mithal, and Neis (2005), Pan and Singleton (2005), Yu (2005), Yu (2006),…”
Liquidity and Credit Risk (2006, methodology): “7His study is based on the reduced-form model in Jarrow, Lando, and Yu (2005) where default occurs at the first jump in a Cox process.”
Correlation in Corporate Defaults: Contagion or Conditional Independence? (2010, unknown): “Note that our focus in this paper is not on ’informational’ contagion in prices on equity, corporate bonds or credit default swap premia as studied for example by Collin-Dufresne, Goldstein, and Helwege (2003) and Jorion and Zhang (2009). Rather, we focus on methods for testing for conditional indep”
Decomposing Swap Spreads (2008, unknown): “…intensity at time t for class i were given as n i mðX t Þ, then the only risk adjustment would be through the risk adjustment of X—a situation related to diversifiable default risk in Jarrow, Lando, and Yu (2005) where the distinction between the two risk specifications is treated in more detail.”
The Term Structure of Interbank Risk (2012, unknown): “However, in the unsecured interbank money market, there is also a jump risk premium on the default event itself, if the mean loss rate differs under the objective and risk-neutral measures, see Yu (2002) and Jarrow, Lando, and Yu (2005).”
Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008, unknown): “portions of our samples, the risk premium component of VIX computed by Todorov (2006) (see his Figure 5) appears to track our standardized VIX series in Figure 10 quite closely.”