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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

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

Multi-period corporate default prediction with stochastic covariates

Duffie, Darrell; Wang, Ke; Saita, Leandro - 2006

Persistent link: https://www.econbiz.de/10003281910

Frailty correlated default

Duffie, Darrell; Eckner, Andreas; Horel, Guillaume; … - In: The journal of finance : the journal of the American … 64 (2009) 5, pp. 2089-2123

Persistent link: https://www.econbiz.de/10003899587

Multi-period corporate default prediction with stochastic covariates

Duffie, Darrell; Saita, Leandro; Wang, Ke - In: Journal of financial economics 83 (2007) 3, pp. 635-665

Persistent link: https://www.econbiz.de/10003439375

Frailty correlated default

Duffie, Darrell; Eckner, Andreas; Horel, Guillaume; … - 2008

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...