Using a unique and comprehensive dataset of loan-level home equity lines of credit serviced by large US national banks, we confirm that default risk of home equity lines of credit increases at end of draw. More importantly, we quantify the increase in default risk with the size of positive...

We examine the relevance and effectiveness of stock return correlations among financial institutions as an indicator of systemic risk. By analyzing the trends and fluctuations of daily stock return correlations and default correlations among the 22 largest bank holding companies and investment...

We examine the impact of the unobservable systematic risk factor on default prediction model performance. We find that including the unobservable systematic risk factor might help improve predictive accuracy, but it might not help improve rank ordering of firms by default risk. Rank ordering is...