• 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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Evaluating default correlations and the probabilities of multiple defaults is an important task in credit analysis and risk management, but it has never been an easy one because default correlations

The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital

Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing

The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks' portfolios, including both their trading and lending books. We propose that

Default Correlation and Credit Analysis

76 DEFAULT CORRELATION AND CREDIT ANALYSIS In the simplest case, default correlation is caused if one firm is a creditor of another. But primarily, and more generally, it is because the fortunes of