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The role of industry, geography and firm heterogeneity in credit risk diversification

Pesaran, M. Hashem (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002846315

Macroeconomics dynamics and credit risk : a global perspective

Pesaran, M. Hashem (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001766064

Modeling regional interdependencies using a global error-correcting macroeconometric model

Pesaran, M. Hashem (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001629728

Firm heterogeneity and credit risk diversification

Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - In: Journal of empirical finance 15 (2008) 4, pp. 583-612

Persistent link: https://www.econbiz.de/10003759687

Firm heterogeneity and credit risk diversification

Hanson, Samuel G.; Pesaran, M. Hashem; Schuermann, Til - 2005

This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. The theoretical results obtained indicate that if firm-specific risk...