Correlated default with incomplete information
نویسندگان
چکیده
منابع مشابه
Correlated default with incomplete information
The recent accounting scandals at Enron, WorldCom, and Tyco were related to the misrepresentation of liabilities. We provide a structural model of correlated multi-firm default, in which public bond investors are uncertain about the liability-dependent barrier at which individual firms default. Investors form prior beliefs on the barriers, which they update with the default status information o...
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Capital allocation decisions are made on the basis of an assessment of creditworthiness. Default is a rare event for most segments of a bank’s portfolio and data information can be minimal. Inference about default rates is essential for efficient capital allocation, for risk management and for compliance with the requirements of the Basel II rules on capital standards for banks. Expert informat...
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This paper proposes new concepts of strong and coalition-proof correlated equilibria where agents form coalitions at the interim stage and share information about their recommendations in a credible way. When players deviate at the interim stage, coalition-proof correlated equilibria may fail to exist for two-player games. However, coalitionproof correlated equilibria always exist in dominance-...
متن کاملCorrelated Default Risk SANJIV
Copyright © 2006 R ecently, an unusually high number of firms in the economy defaulted, with the default rate for Moody’s-rated speculativegrade issuers reaching as high as 10.2% in 2001. In their annual review, Moody’s summarized these credit events as follows, “Record defaults —unmatched in number and dollar volume since the Great Depression—have culminated in the bankruptcies of well-known f...
متن کاملCorrelated Default Risk
∗We are extremely thankful for many constructive suggestions from Gurdip Bakshi, N. Chidambaran, Darrell Duffie, Rong Fan, Gifford Fong, John Knight, N. R. Prabhala, Jun Pan, Dmitry Pugachevsky, Shuyan Qi, Ken Singleton, Rangarajan Sundaram, Suresh Sundaresan and Haluk Unal. We received useful feedback from participants at various seminars: at the AIMR talks in Tokyo, Singapore and Sydney, the ...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2004
ISSN: 0378-4266
DOI: 10.1016/s0378-4266(03)00129-8