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Common failings : how corporate defaults are correlated
Das, Sanjiv R.; Duffie, Darrell; Kapadia, Nikunj; … - 2006
Persistent link: https://www.econbiz.de/10003281946
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Common failings : how corporate defaults are correlated
Das, Sanjiv R.; Duffie, Darrell; Kapadia, Nikunj; … - In: The journal of finance : the journal of the American … 62 (2007) 1, pp. 93-118
Persistent link: https://www.econbiz.de/10003425753
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Correlated default risk
Das, Sanjiv R.; Freed, Laurance; Geng, Gary; Kapadia, Nikunj - In: The journal of fixed income 16 (2006) 2, pp. 7-32
Persistent link: https://www.econbiz.de/10003400058
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Common Failings : How Corporate Defaults are Correlated
Das, Sanjiv Ranjan - 2010
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...
Persistent link: https://www.econbiz.de/10012761779
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Common Failings : How Corporate Defaults are Correlated
Das, Sanjiv - 2006
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...
Persistent link: https://www.econbiz.de/10012466710
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Issuer bias in corporate ratings toward financially constrained firms
Hasan, Mohammad; Kapadia, Nikunj; Siddique, Akhtar R. - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10012041610
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Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: Credit risk : models, derivatives, and management, (pp. 155-180). 2008
Persistent link: https://www.econbiz.de/10003718458
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Investigating the role of systematic and firm-specific factors in default risk : lessons from empirically evaluating credit risk models
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank Xiaoling - In: The journal of business : B 79 (2006) 4, pp. 1955-1987
Persistent link: https://www.econbiz.de/10003378503
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Recovery in default risk modeling : theoretical foundations and empirical applications
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank - 2001
Persistent link: https://www.econbiz.de/10001613473
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Investigating the sources of default risk : lessons from empirically evaluating credit risk models
Bakshi, Gurdip S.; Madan, Dilip B.; Zhang, Frank X. - 2001
Persistent link: https://www.econbiz.de/10001573166