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Firm Defaults and the Correlation Effect (2003)

Gersbach, Hans ; Lipponer, Alexander

Oxford, UK and Boston, USA : Blackwell Publishing Ltd

European financial management 9 (2003), S. 0

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ISSN: 1468-036X

Source: Blackwell Publishing Journal Backfiles 1879-2005

Topics: Economics

Notes: We examine how the correlations of bank loan defaults depend on the correlations of asset returns and how correlations and diversification are affected by macroeconomic risks. We highlight the main properties of the relationship between asset returns and default correlations, illustrating how adverse macroeconomic shocks raise not only the likelihood of defaults, but also the correlation of defaults. The latter effect, called correlation effect, may account for more than 50% of the increase in the credit risk.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1111/1468-036X.00225

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