PT  - JOURNAL ARTICLE
AU  - Sanjiv Ranjan. Das
AU  - H. Gifford Fong
AU  - Gary Geng
TI  - Impact of Correlated Default Risk on Credit Portfolios
AID  - 10.3905/jfi.2001.319301
DP  - 2001 Dec 31
TA  - The Journal of Fixed Income
PG  - 9--19
VI  - 11
IP  - 3
4099  - https://pm-research.com/content/11/3/9.short
4100  - https://pm-research.com/content/11/3/9.full
AB  - Markets are evidencing increasing systemic risk, and the credit market is no exception. Correlated default is thus an important feature models must account for in credit portfolios. To complement the growing literature on theoretical models to capture correlated default, the authors explore the implications of correlated default for credit portfolios. Ex ante default probabilities are found to be strongly correlated, and regime-dependent; ignoring these features understates the risk profile of credit portfolios. Rating agencies must include correlated default in their analysis of debt pools.