Scholarly articles for correlated default risk | |
Correlated default risk - Das - Cited by 173 Impact of correlated default risk on credit portfolios - Das - Cited by 52 Premia for correlated default risk - Azizpour - Cited by 58 | |
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[PDF]Correlated Default Risk - NYU
web-docs.stern.nyu.edu/salomon/docs/Kapadia_1.pdf
by SR Das - 2006 - Cited by 173 - Related articles
Fixed-Income portfolios are increasingly susceptible to correlated default risk. ... majority of joint default risk emanates from covariation in default probabilities, ...Correlated Default Risk - CFA Institute
https://www.cfainstitute.org/learning/products/publications/dig/.../dig.v37.n2.4583.asp...
Default probabilities for individual issuers and for clusters of companies rise and fall with each other depending on the state of the economy itself. Probability of ...Premia for correlated default risk - ScienceDirect
www.sciencedirect.com/science/article/pii/S0165188911000558
by S Azizpour - 2011 - Cited by 58 - Related articles
Does the credit index derivatives market price correlated corporate default risk? If so, how do risk premia behave over time, across index credit quality, and ...[PDF]CORRELATED DEFAULT RISK
mx.nthu.edu.tw/~jtyang/Teaching/Risk.../Correlations/Correlated%20Default%20Risk.pd...
by SR Das - 2002 - Cited by 173 - Related articles
Correlated Default Risk. Abstract. Using a comprehensive and unique data set of default probabilities from Moody's, we examine correlations between default ...[PDF]Simulating Correlated Defaults - Darrell Duffie
www.darrellduffie.com/uploads/working/DuffieSingleton1999.pdf
by D Duffie - 1999 - Cited by 234 - Related articles
May 21, 1999 - to modeling and simulating correlated default times (and losses) on portfolios ... computational burden of a typical risk-management problem in ...[PDF]Frailty Correlated Default - Darrell Duffie
www.darrellduffie.com/uploads/pubs/DuffieEcknerHorelSaita2009.pdf
by D DUFFIE - 2009 - Cited by 426 - Related articles
A conventional portfolio loss risk model assumes that borrower-level condi- ..... correlated than would be suggested by the assumption that default risk is cap-.[PDF]The pricing of correlated default risk: evidence from the credit ...
citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.392.9500&rep=rep1&type...
by N Tarashev - Cited by 13 - Related articles
The pricing of correlated default risk: evidence from the credit derivatives market. Nikola Tarashev. (Bank for International Settlements). Haibin Zhu. (Bank for ...Correlated Default Risk - DefaultRisk.com
www.defaultrisk.com/pp_corr_32.htm
Correlated Default Risk. by Sanjiv R. Das of Santa Clara University Laurence Freed of Bear Sterns, Gary Geng of Amaranth Group, Inc., and. Nikunj Kapadia ofDefault Correlations - Riskprep
https://www.riskprep.com/all-tutorials/37-exam-31/114-default-correlations
Jul 1, 2010 - Risk Education .... This is a brief article on default correlations – what it means, and how to interpret it. ... With this representation, calculating default correlations between the securities becomes a trivial task as shown below in ...Impact of Correlated Default Risk on Credit Portfolios - Institutional ...
www.iijournals.com/doi/pdfplus/10.3905/jfi.2001.319301
by SR Das - 2001 - Cited by 52 - Related articles
set to conduct an analysis of credit portfolio risk. Impact of Correlated. Default Risk on. Credit Portfolios. SANJIV R. DAS, GIFFORD FONG, AND GARY GENG.