Frailty correlated default

Darrell Duffie; Andreas Eckner; Guillaume Horel; Leandro Saita

We analyze portfolio credit risk in light of dynamic quot;frailty,quot; by which the credit qualities of different firms depend on common unobservable time-varying default covariates. Frailty is estimated to have a large impact on estimated conditional mean default rates, above and beyond those predicted by observable factors, and to cause a large increase in the likelihood of large default losses for portfolios of U.S. corporate bonds during 1980-2004

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Year of publication:	2008
Authors:	Duffie, Darrell ; Eckner, Andreas ; Horel, Guillaume ; Saita, Leandro
Publisher:	Genève : Swiss Finance Inst.
Subject:	Kreditrisiko \| Credit risk \| Dynamische Wirtschaftstheorie \| Economic dynamics \| Schätzung \| Estimation \| USA \| United States \| 1979-2004

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Extent:	Online-Ressource (PDF-Datei: 50 S.)
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 08,44 Swiss Finance Institute Research Paper ; No. 08-44
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.2139/ssrn.1314771 [DOI]
Classification:	C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C41 - Duration Analysis ; E44 - Financial Markets and the Macroeconomy ; G33 - Bankruptcy; Liquidation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003966209