Measuring Correlated Default Risk: A New Metric and Validity Tests

Siamak Javadi; Seoyoung Kim; Tim Krehbiel; Ali Nejadmalyeri

doi:10.3905/jfi.2017.27.2.006

Measuring Correlated Default Risk: A New Metric and Validity Tests

Siamak Javadi, Seoyoung Kim, Tim Krehbiel and Ali Nejadmalyeri

The Journal of Fixed Income Fall 2017, 27 (2) 6-29; DOI: https://doi.org/10.3905/jfi.2017.27.2.006

Siamak Javadi

is an assistant professor of finance at the University of Texas Rio Grande Valley (Robert C. Vackar College of Business & Entrepreneurship) in Brownsville, TX

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Seoyoung Kim

is an assistant professor of finance at Santa Clara University in Santa Clara, CA

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Tim Krehbiel

is the Watson Family Chair in Financial Risk Management and professor of finance at Oklahoma State University (Spears School of Business) in Stillwater, OK

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Ali Nejadmalyeri

is the ONEOK Chair and associate professor of finance at Oklahoma State University (Spears School of Business) in Tulsa, OK

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site

Article
Info & Metrics
PDF (Subscribers Only)

PreviousNext

Explore our content to discover more relevant research

By topic
Across journals
From the experts
Monthly highlights
Special collections

In this issue

The Journal of Fixed Income

Vol. 27, Issue 2

Fall 2017

Table of Contents
Index by author

Download PDF

Article Alerts

User Name *

Password *

Email *

Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Your Email *

Your Name *

Send To *

Enter multiple addresses on separate lines or separate them with commas.

You are going to email the following Measuring Correlated Default Risk: A New Metric and Validity Tests

Message Subject (Your Name) has sent you a message from The Journal of Fixed Income

Message Body (Your Name) thought you would like to see the The Journal of Fixed Income web site.

Your Personal Message

CAPTCHA

This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

Citation Tools

Measuring Correlated Default Risk: A New Metric and Validity Tests