DUFFIE, DARRELL; ECKNER, ANDREAS; HOREL, GUILLAUME; … - In: Journal of Finance 64 (2009) 5, pp. 2089-2123
The probability of extreme default losses on portfolios of U.S. corporate debt is much greater than would be estimated under the standard assumption that default correlation arises only from exposure to observable risk factors. At the high confidence levels at which bank loan portfolio and...