Frailty Correlated Default

• 成果类型: Article
• 署名作者: Duffie, Darrell; Eckner, Andreas; Horel, Guillaume; Saita, Leandro
• 署名单位: Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01495.x
• 发表日期: 2009
• 页码: 2089-2123
• 关键词: statistical-analysis; corporate-debt; prediction; MODEL; RISK; CONVERGENCE

摘要

The probability of extreme default losses on portfolios of U. S. corporate debt is much greater than would be estimated under the standard assumption that default correlation arises only from exposure to observable risk factors. At the high confidence levels at which bank loan portfolio and collateralized debt obligation (CDO) default losses are typically measured for economic capital and rating purposes, conventionally based loss estimates are downward biased by a full order of magnitude on test portfolios. Our estimates are based on U. S. public nonfinancial firms between 1979 and 2004. We find strong evidence for the presence of common latent factors, even when controlling for observable factors that provide the most accurate available model of firm-by-firm default probabilities.