[BOOK][B] Measuring Correlated Default Risk: A New Metric and Validity Tests
S Javadi, S Kim, T Krehbiel, A Nejadmalyeri - 2017 - seoyoungkim.com
Extracting information from daily CDS spreads, we propose a measure of correlated default
risk, which we show is a meaningful predictor of bankruptcy clusters.
risk, which we show is a meaningful predictor of bankruptcy clusters.
[CITATION][C] Credit Spreads and Correlated Default Risk
S Javadi, S Kim, T Krehbiel, A Nejadmalyeri - 2015
[CITATION][C] Measuring Joint Default Risk
S Javadi, S Kim, T Krehbiel, A Nejadmalyeri - 2016