Common Failings: How Corporate Defaults Are Correlated
Sanjiv Das (),
Nikunj Kapadia and
Journal of Finance, 2007, vol. 62, issue 1, 93-117
We test the doubly stochastic assumption under which firms' default times are correlated only as implied by the correlation of factors determining their default intensities. Using data on U.S. corporations from 1979 to 2004, this assumption is violated in the presence of contagion or “frailty” (unobservable explanatory variables that are correlated across firms). Our tests do not depend on the time‐series properties of default intensities. The data do not support the joint hypothesis of well‐specified default intensities and the doubly stochastic assumption. We find some evidence of default clustering exceeding that implied by the doubly stochastic model with the given intensities.
References: Add references at CitEc
Citations: View citations in EconPapers (183) Track citations by RSS feed
Downloads: (external link)
Working Paper: Common Failings: How Corporate Defaults are Correlated (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:62:y:2007:i:1:p:93-117
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().