Correlation in corporate defaults: Contagion or conditional independence?
D Lando, MS Nielsen - Journal of Financial Intermediation, 2010 - Elsevier
We revisit a method used by Das et al.(2007)(DDKS) who jointly test and reject a
specification of firm default intensities and the doubly stochastic assumption in intensity …
specification of firm default intensities and the doubly stochastic assumption in intensity …
Intersectoral default contagion: A multivariate Poisson autoregression analysis
A Escribano, M Maggi - Economic Modelling, 2019 - Elsevier
This paper analyzes credit rating default dependencies in a multisectoral framework. Using
Mergent's FISD database, we study the default series in the US over the last two decades …
Mergent's FISD database, we study the default series in the US over the last two decades …
[HTML][HTML] Optimal capital structure and simultaneous bankruptcy of firms in corporate networks
M Nishihara, T Shibata - Journal of Economic Dynamics and Control, 2021 - Elsevier
We examine two firms' strategic choices of capital structure in the presence of negative
bankruptcy spillovers. The low-profitability firm (denoted by firm L) that bankrupts earlier …
bankruptcy spillovers. The low-profitability firm (denoted by firm L) that bankrupts earlier …
Credit risk clustering in a business group: Which matters more, systematic or idiosyncratic risk?
F Li, Z He - Cogent Economics & Finance, 2019 - Taylor & Francis
Understanding how defaults correlate across firms is a persistent concern in risk
management. In this paper, we apply covariate-dependent copula models to assess the …
management. In this paper, we apply covariate-dependent copula models to assess the …
[BOOK][B] Essays on Correlation Modelling
M Stenbo Nielsen - 2011 - econstor.eu
The thesis consists of three essays that cover different aspects of correlation modelling in
corporate default risk. Each essay is self-contained and can be read independently. Essay I …
corporate default risk. Each essay is self-contained and can be read independently. Essay I …
Pengaruh cash flow, nilai perusahaan dan grup afiliasi terhadap keputusan investasi perusahaan sektor pertambangan yang terdaftar di bursa efek indonesia periode …
EL Fairuz, M Hadjaat… - Jurnal Ilmu Manajemen …, 2019 - journal.feb.unmul.ac.id
Untuk terus tumbuh, investasi adalah masalah penting bagi perusahaan. Sedangkan
investasi membutuhkan dana yang dapat diperoleh dengan pembiayaan internal atau …
investasi membutuhkan dana yang dapat diperoleh dengan pembiayaan internal atau …
[BOOK][B] Kreditrisikoberechnung mittels dynamischer Portfoliosimulation am Beispiel eines Energieversorgungsunternehmens: Theoretische Analyse und Umsetzung
M Pehla - 2006 - books.google.com
Inhaltsangabe: Einleitung: Obwohl im Sektor der Energieversorgung in Deutschland in der
Vergangenheit äußerst wenige Ausfälle von Unternehmen beobachtet worden sind, zeigen …
Vergangenheit äußerst wenige Ausfälle von Unternehmen beobachtet worden sind, zeigen …