Default correlation: rating, industry ripple effect, and business cycle
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DOI: 10.1080/00036846.2019.1566689
Abstract: ABSTRACT For a well-diversified bond portfolio, default risk over the investment horizon is known as the major risk and the risk is largely from correlated defaults. While plenty of theoretical work about default correlation has… read more here.
Keywords: default; ripple effect; industry ripple; default correlation ... See more keywords