Exploring the sources of default clustering
By S. Azizpour, Kay Giesecke, G. Schwenkler. Journal of Financial Economics, 2018
163 citations recorded by the source corpus.
We study the sources of corporate default clustering in the United States. We reject the hypothesis that firms’ default times are correlated only because their conditional default rates depend on observable and latent systematic factors. By contrast, we find strong evidence that contagion, through which the default by one firm has a direct impact on the health of other firms, is a significant clustering source. The amount of clustering that cannot be explained by contagion and firms’ exposure to observable and latent systematic factors is insignificant. Our results have important implications for the pricing and management of correlated default risk.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/fe5c1495c53b872ff17d5a76cb296fde54dd7c26
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Citations in the corpus
- An SPDE model for systemic risk with endogenous contagion (2018, background): “Recently, there has been a great deal of interest in disentangling the rôles of contagion and common risk factors when seeking to explain the observed clustering of corporate defaults (see e.g. Azizpour, Giesecke & Schwenkler [3], Lando & Nielsen [38], Duffie et al. [22]).”