Default correlation: empirical evidence
@inproceedings{Servigny2002DefaultCE, title={Default correlation: empirical evidence}, author={Arnaud de Servigny and Olivier Renault}, year={2002} }
The aim of this paper is to provide new empirical evidence on default correlation, using Standard & Poor’s rating database, and to benchmark some popular market practices. Some of our findings confirm what previous research had already established; some also clearly tend to challenge several common practices that have limited empirical support. We advocate the use of empirical correlation as a benchmark for current credit portfolio model specifications. We then study the impact of the business…
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