• Corpus ID: 210430323

Default correlation: empirical evidence

  title={Default correlation: empirical evidence},
  author={Arnaud de Servigny and Olivier Renault},
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… 

The domino effect of credit defaults: test of asymmetric default correlations using realised default data

ABSTRACT Using the research framework of a domino effect in firms, we first make theoretical contributions by addressing several testable hypotheses regarding asymmetrical default correlations. We

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Purpose - This paper is a first attempt to empirically calibrate the default and asset correlation for large companies in India and elaborate its implications for credit risk capital estimation for a

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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