Correlations in firm default behavior
Thesis (S.M.)--Massachusetts Institute of Technology, System Design and Management Program, 2009.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2010
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| Online Access: | http://hdl.handle.net/1721.1/55245 |
| _version_ | 1811073139397885952 |
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| author | Thirukkonda, Sreeram (Sreeram Radhakrishnan), 1975- |
| author2 | Scott Joslin. |
| author_facet | Scott Joslin. Thirukkonda, Sreeram (Sreeram Radhakrishnan), 1975- |
| author_sort | Thirukkonda, Sreeram (Sreeram Radhakrishnan), 1975- |
| collection | MIT |
| description | Thesis (S.M.)--Massachusetts Institute of Technology, System Design and Management Program, 2009. |
| first_indexed | 2024-09-23T09:29:03Z |
| format | Thesis |
| id | mit-1721.1/55245 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T09:29:03Z |
| publishDate | 2010 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/552452019-04-11T14:06:50Z Correlations in firm default behavior Modeling correlated credit risks using structural and reduced form models Thirukkonda, Sreeram (Sreeram Radhakrishnan), 1975- Scott Joslin. System Design and Management Program. System Design and Management Program. System Design and Management Program. 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). 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. by Sreeram Thirukkonda. S.M. 2010-05-25T21:09:23Z 2010-05-25T21:09:23Z 2009 2009 Thesis http://hdl.handle.net/1721.1/55245 612306956 eng M.I.T. theses are protected by 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. http://dspace.mit.edu/handle/1721.1/7582 73 p. application/pdf Massachusetts Institute of Technology |
| spellingShingle | System Design and Management Program. Thirukkonda, Sreeram (Sreeram Radhakrishnan), 1975- Correlations in firm default behavior |
| title | Correlations in firm default behavior |
| title_full | Correlations in firm default behavior |
| title_fullStr | Correlations in firm default behavior |
| title_full_unstemmed | Correlations in firm default behavior |
| title_short | Correlations in firm default behavior |
| title_sort | correlations in firm default behavior |
| topic | System Design and Management Program. |
| url | http://hdl.handle.net/1721.1/55245 |
| work_keys_str_mv | AT thirukkondasreeramsreeramradhakrishnan1975 correlationsinfirmdefaultbehavior AT thirukkondasreeramsreeramradhakrishnan1975 modelingcorrelatedcreditrisksusingstructuralandreducedformmodels |