These writings constitute my PhD dissertation in financial economics. The dissertation consists of three chapters. Each chapter can be read independently of the others, but all three chapters share the dissertation’s overall topic: Measuring and pricing the risk of corporate failures. The...

The thesis consists of three essays that cover different aspects of correlation modelling in corporate default risk. Each essay is self-contained and can be read independently. Essay I: Correlation in corporate defaults: Contagion or conditional independence? Essay II: Systematic and...