• Corpus ID: 210430323

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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References

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Presented at the American Finance Association Meeting, New York, December 1973.(This abstract was borrowed from another version of this item.)