| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11961 |
| 来源ID | Working Paper 11961 |
| Common Failings: How Corporate Defaults are Correlated | |
| Sanjiv Das; Darrell Duffie; Nikunj Kapadia; Leandro Saita | |
| 发表日期 | 2006-01-23 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | 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 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. There is also some evidence of default clustering in excess of that implied by the doubly-stochastic model with the given intensities. |
| 主题 | Financial Economics ; Corporate Finance |
| URL | https://www.nber.org/papers/w11961 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569612 |
| 推荐引用方式 GB/T 7714 | Sanjiv Das,Darrell Duffie,Nikunj Kapadia,et al. Common Failings: How Corporate Defaults are Correlated. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11961.pdf（279KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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