Purpose Prior studies use two measures of firm-specific return variation (FSRV): idiosyncratic volatility in absolute and relative terms, the latter of which is also termed stock price nonsynchronicity. Whereas most research focuses on investigating the idiosyncratic volatility puzzle, the...

Purpose This paper aims to provide an overview, a classification of existing research groups for correlated default models using a reduced-form method and an identification of future research opportunities in the field. Design/methodology/approach A systematic literature review is used for the...