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Measuring Corporate Default Risk$
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Darrell Duffie

Print publication date: 2011

Print ISBN-13: 9780199279234

Published to Oxford Scholarship Online: September 2011

DOI: 10.1093/acprof:oso/9780199279234.001.0001

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Default Correlation

Default Correlation

Chapter:
(p.35) 5 Default Correlation
Source:
Measuring Corporate Default Risk
Author(s):

Darrell Duffie

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199279234.003.0005

This chapter provides a battery of tests of the ability of the model estimated in Chapter 4 to capture default correlation. Several of these tests are based on a time re-scaling by which defaults arrive according to a constant-intensity Poisson process. The results show that U.S. corporations have defaulted in a manner that suggests significantly more default correlation that is apparent merely from the observable covariates.

Keywords:   corporation, default, risk, empirical estimation, default intensity, bankruptcy, default correlation, copula, Poisson process

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