Exploring the sources of default clustering

• 成果类型: Article
• 署名作者: Azizpour, S.; Giesecke, K.; Schwenkler, G.
• 署名单位: Stanford University; Boston University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.04.008
• 发表日期: 2018
• 页码: 154-183
• 关键词: Default clustering; contagion; frailty; Correlated default risk

摘要

We study the sources of corporate default clustering in the United States. We reject the hypothesis that firms' default times are correlated only because their conditional default rates depend on observable and latent systematic factors. By contrast, we find strong evidence that contagion, through which the default by one firm has a direct impact on the health of other firms, is a significant clustering source. The amount of clustering that cannot be explained by contagion and firms' exposure to observable and latent systematic factors is insignificant. Our results have important implications for the pricing and management of correlated default risk. (C) 2018 Elsevier B.V. All rights reserved.