Frailty Correlated Default

By Darrell Duffie, Andreas Eckner, Guillaume Horel, Leandro Saita. 2009

571 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/b129315b89fdabf0a65b5ff5e179c96ccc8b44e9

How researchers see this paper

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

In Accounting

1. Philippe Jorion
2. Kay Giesecke
3. André Lucas
4. S. J. Koopman
5. B. Schwaab
6. Gaiyan Zhang
7. Xin Huang
8. Hao Zhou

In Finance

1. André Lucas
2. S. J. Koopman
3. Kay Giesecke
4. B. Schwaab
5. Xin Huang
6. Hao Zhou
7. Haibin Zhu
8. Philippe Jorion

Citations in the corpus

• Exploring the sources of default clustering (2018, unknown): “Even though our data spans a longer time horizon and includes defaults of financial firms, the parameter estimates for our frailty factor in the restricted model are almost equal to the estimates for the frailty factor in the comparable model of Duffie et al. (2009).(11) However, the fitted paramete”
• Rollover Risk and Credit Risk (2012, unknown): “A recent empirical study by Du¢ e et al (2009) indeed nds that the probability of extreme default losses on portfolios of U.S. corporate debt is much greater than would be estimated under the standard assumption that default correlation arises from exposure to observable fundamental factors.”
• Pricing Credit from the Top Down with Affine Point Processes (2008, background): “An example is a doubly stochastic setting in which firm intensities are driven by common factors, as in Duffie and Garleanu (2001), Mortensen (2005), di Graziano and Rogers (2006) and Hurd and Kuznetsov (2006).”
• Affine Point Processes and Portfolio Credit Risk (2010, unknown): “The existence of these feedback phenomena is indicated by the ripple effects associated with the default of Lehman Brothers on September 15, 2008 and is further empirically documented in [4], [11], [17], [24], [27], and others.”
• Multiperiod Corporate Default Prediction - A Forward Intensity Approach (2012, unknown): “A potential quick fix is to introduce the frailty effect as suggested in the previous literature such as Koopman, et al (2008) and Duffie, et al (2009) or to employ the regime-switching approach as in Chuang and Kuan (2010).”
• A framework for assessing the systemic risk of major financial institutions (2009, background): “One approach estimates it directly from historical data on defaults (Daniels et al. (2005), Jarrow (2001), Das et al. (2007), and Duffie et al. (2008)).”
• Modeling Dependence in High Dimensions With Factor Copulas (2015, unknown): “kESit = Et 1 rit XNj=1 1 frjt < Cg > k (20)”
• Central Clearing and Collateral Demand (2015, unknown): “Among other results, we show that system-wide collateral demand is increased significantly by the application of initial margin requirements for dealers, whether or not CDS are cleared.”
• Modeling frailty-correlated defaults using many macroeconomic covariates (2011, methodology): “The conditionally Binomial assumption for (1) is therefore analogous to the doubly-stochastic default times assumption of Azizpour and Giesecke (2008) and Duffie et al. (2009).”
• A General Framework for Observation Driven Time-Varying Parameter Models (2008, unknown): “, Engle and Russell (1998), Russell (2001), Bauwens and Hautsch (2006) and Koopman, Lucas, and Monteiro (2008).”