| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089613 | Journal of Banking & Finance | 2012 | 14 Pages |
Abstract
⺠The current economic climate demands a good understanding of credit correlation. ⺠We examine a comprehensive set of observable factors. ⺠An economically significant co-movement in credit risks remaining to be explained. ⺠Including a time dummy completely accounts for the remaining co-movement. ⺠It seems important to consider unobservable risk factor(s) in credit risk models.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Xiaoling Pu, Xinlei Zhao,