Default dependence among corporate bond issuers: empirical evidence from time series data
This study shows that the extent to which the asset returns of different obligors are correlated is of vital importance for a realistic assessment credit portfolio risk. The high empirical relevance of this phenomenon is demonstrated by applying a likelihood-based estimation procedure to time series data on historical default frequencies. It turns out that, apparently, the default probabilities of speculative-grade debtors are much more highly correlated than the ones of investment-grade borrowers.
Year of publication: |
2005
|
---|---|
Authors: | Puzanova, Natalia ; Siddiqui, Sikandar |
Published in: |
Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 1.2005, 5, p. 297-302
|
Publisher: |
Taylor and Francis Journals |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Puzanova, Natalia, (2009)
-
Default dependence among corporate bond issuers : empirical evidence from time series data
Puzanova, Natalia, (2005)
-
Puzanova, Natalia, (2009)
- More ...