Correlations in firm default behavior
Name
612306956-MIT.pdf
Description
Full printable version
Size
4.52 MB
Format
Adobe PDF
Checksum (MD5)
3bf9b6e9745151d11682c348bf001865
Author(s)
Thirukkonda, Sreeram (Sreeram Radhakrishnan), 1975-
Advisor(s)
Scott Joslin.
Alternative Title
Modeling correlated credit risks using structural and reduced form models
Date Issued
2009
Publisher
Massachusetts Institute of Technology
Abstract
Modeling credit risk using Structural and Reduced Form models has been a popular and apropos topic of research. This work makes an attempt to better understand correlations in firm default. A review of contemporary research reveals several models with varying degrees of assumptions around firm default and how they relate to macroeconomic variables. More recent literature also makes use of a doubly stochastic assumption which in essence holds that given a certain path of covariates the default probabilities of two similar firms is independent. We explore empirical evidence which points to correlated defaults conditional on various explanatory covariates. Given the strong similarities in underlying firm structure and relationship to macro-economic environment, it can be hypothesized that there exist correlations in default behavior among similar firms.
Description
Thesis (S.M.)--Massachusetts Institute of Technology, System Design and Management Program, 2009.
Cataloged from PDF version of thesis.
Includes bibliographical references (p. 67-68).
Subjects
System Design and Management Program.
MIT Department
System Design and Management Program.
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copyright. They may be viewed from this source for any purpose, but
reproduction or distribution in any format is prohibited without written
permission. See provided URL for inquiries about permission.
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