Default correlation: empirical evidence
By Arnaud de Servigny, Olivier Renault. 2002
120 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/aae251436d0e3b489951c0d38463d71106755675
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
- Joël Petey
- M. Dietsch
- Ana Lozano-Vivas
- Leigh Drake
- Fotios Pasiouras
Citations in the corpus
- Multi-Period Corporate Default Prediction With Stochastic Covariates (2007, unknown): “Unfortunately, our estimated model implies unrealistically low estimates of default correlation, compared to the sample correlations reported by DeServigny and Renault (2002). This is a topic of some subsequent research reported in Das, Duffie, Kapadia, and Saita (2006) and Duffie, Eckner, Horel, an”
- Pricing CDOs with Correlated Variance Gamma Distributions (2006, unknown): “(θM , νM , σM) = ( cθ, ν c2 , σ ) , (7)”
- The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model (2010, unknown): “For example Servigny and Renault (2002), who look at historical data on defaults and ratings transitions to estimate default correlations, find that the correlations are higher in recessions than in expansion periods.”
- Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs (2004, methodology): “We computed the asset correlations by using the one systematic factor probit ordered model (Gordy, 2000; Dietsch and Petey, 2002).”
- The Ordered Qualitative Model for Credit Rating Transitions (2003, unknown): “However the chi-square criterion has to be used with care; indeed, whereas the number of firms is large, the major part of sample frequencies observed in practice are see De Servigny, Renault (2002) for a discussion of weighting in transition models.”
- Frailty Correlated Default (2009, unknown): “Without frailty, the model-implied default correlations were found to be much lower than the sample default correlations estimated by DeServigny and Renault (2002). The results of Das, Duffie, Kapadia, and Saita (2007) confirm that the default correlations implied by the doubly stochastic model (wit”