Similar Search Results

Investigating the sources of default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank X. - 2001

Persistent link: https://www.econbiz.de/10001573166

Recovery in default risk modeling : theoretical foundations and empirical applications

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank - 2001

Persistent link: https://www.econbiz.de/10001613473

Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: The journal of business : B 79 (2006) 4, pp. 1955-1987

Persistent link: https://www.econbiz.de/10003378503

Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models

Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: Credit risk : models, derivatives, and management, (pp. 155-180). 2008

Persistent link: https://www.econbiz.de/10003718458

Decoding default risk : a review of modeling approaches, findings, and estimation methods

Bakshi, Gurdip S.; Gao, Xiaohui; Zhong, Zhaodong - In: Annual review of financial economics 14 (2022), pp. 391-413

Persistent link: https://www.econbiz.de/10013461162

Correlated default risk

Das, Sanjiv R.; Freed, Laurance; Geng, Gary; Kapadia, Nikunj - In: The journal of fixed income 16 (2006) 2, pp. 7-32

Persistent link: https://www.econbiz.de/10003400058

Common Failings : How Corporate Defaults are Correlated

Das, Sanjiv - 2006

We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms'default times are correlated only as implied by the correlation of factors determining their default intensities. This assumption is violated in the presence of...

Persistent link: https://www.econbiz.de/10012466710

Common Failings : How Corporate Defaults are Correlated

Das, Sanjiv R. - 2010

Persistent link: https://www.econbiz.de/10012761779

Common failings : how corporate defaults are correlated

Das, Sanjiv R.; Duffie, Darrell; Kapadia, Nikunj; … - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 93-118

Persistent link: https://www.econbiz.de/10003425753

Common failings : how corporate defaults are correlated

Das, Sanjiv R.; Duffie, Darrell; Kapadia, Nikunj; … - 2006

Persistent link: https://www.econbiz.de/10003281946