Reduced-form models of correlated default timing: a systematic literature review

Ha Nguyen and Xian Zhou

Journal of Accounting Literature, 2022, vol. 45, issue 1, 190-205

Abstract: 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 identification, selection, evaluation and synthesis of relevant literature using keywords regarding the reduced-form default models in the Web of Science database. The authors also add articles from cross-referencing and expert recommendations to the literature. HistCite™program is used to generate a citation map of the literature. Findings - The results show that reduced-form correlated default risk models are developing towards modelling credit risk with both observable and unobservable variables. The frailty correlated default model at the firm level is still a potential research field. Originality/value - This is the first paper systematically reviewing the research on reduced-form models of default timing.

Keywords: Reduced-form model; Default risk; Corporate default; Frailty; Hidden factors; Systematic literature review (search for similar items in EconPapers)
Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:jalpps:jal-08-2022-0091

DOI: 10.1108/JAL-08-2022-0091

Access Statistics for this article

Journal of Accounting Literature is currently edited by Professor Martina Linnenluecke and Professor Tom Smith

More articles in Journal of Accounting Literature from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().