Inferring Default Correlation from Equity Return Correlation
نویسندگان
چکیده
منابع مشابه
Measuring Default Correlation
Observation of historical default rates supports the idea that default events (and, more generally, all indicators of credit quality and transition) are correlated. Default correlations are caused by similar economic conditions and, within a sector, by industry-specific reasons. However, incorporating default correlation in any portfolio credit risk analysis is difficult because of the lack of ...
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ژورنال
عنوان ژورنال: European Financial Management
سال: 2015
ISSN: 1354-7798
DOI: 10.1111/eufm.12016