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Original Articles

Default dependence among corporate bond issuers: empirical evidence from time series data

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Pages 297-302 | Published online: 01 Sep 2006

References

References

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  • Bohn JR Kealhofer S 2001 Portfolio Management of Default Risk Moody's KMV White Paper San Francisco CA
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  • De Servigny A Renault O 2002 Default correlation: empirical evidence Working Paper, Standard and Poor's London
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  • Gupton GM Finger CC Bhatia M 1997 CreditMetrics™, Technical Document JP Morgan New York
  • Hamilton DT Varma P Ou S Cantor R 2005 Default and Recovery Rates of Corporate Bond Issuers, 1920–2004, Moody's Investors’ Service New York
  • Merton , RC . 1974 . On the pricing of corporate debt: the risk structure of interest rates . Journal of Finance , 29 : 449 – 70 .
  • Rösch D 2003 Correlations and business cycles of credit risk: evidence from bankruptcies in Germany 2003 Regensburger Diskussionsbeiträge zu den Wirtschaftswissenschaften 380
  • Rösch D 2004 An empirical comparison of default risk forecasts from alternative credit rating philosophies Working Paper University of Regensburg

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