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Industry shocks and empirical evidences on defaults comovement
Högskolan Dalarna, Akademin Industri och samhälle, Statistik.ORCID-id: 0000-0002-3183-3756
2009 (engelsk)Rapport (Annet vitenskapelig)
Abstract [en]

It is commonly agreed that the credit defaults are correlated. However, the mechanism of such dependence is not yet fully understood. This paper contributes to the current understanding about the defaults comovement in the following way. Assuming that the industries provides the basis of defaults comovement it provides empirical evidence as to how such comovements can be modeled using correlated industry shocks. Generalized linear mixed model (GLMM) with correlated random effects is used to model the defaults comovement. Empirical evidences are drawn through analyzing individual borrower level credit history data obtained from two major Swedish banks between the period 1994-2000. The results show that the defaults are correlated both within and between industries but not over time (quarters). A discussion has also been presented as to how a GLMM for defaults correlation can be explained.

sted, utgiver, år, opplag, sider
Örebro, sweden.: Swedish Business School at Örebro University. , 2009.
Serie
Working Paper Series, Swedish Business School at Örebro University., ISSN 1403-0586 ; 3
Emneord [en]
Credit risk, defaults contagion, GLMM, cluster correlation.
HSV kategori
Forskningsprogram
Komplexa system - mikrodataanalys, Kreditriskmodellering
Identifikatorer
URN: urn:nbn:se:du-4535OAI: oai:dalea.du.se:4535DiVA, id: diva2:523192
Tilgjengelig fra: 2010-02-13 Laget: 2010-02-13 Sist oppdatert: 2015-06-08bibliografisk kontrollert

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