[Cancelled] Seminar 217, Risk Management: Exploring the Sources of Default Clustering

[Cancelled] Seminar 217, Risk Management: Exploring the Sources of Default Clustering

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Feb 17, 2015, 10:00 AM - 11:30 AM | 597 Evans Hall | Canceled
Gustavo Schwenkler, Boston University (Speaker - Featured)
Abstract: We study the sources of corporate default clustering using data on industrial and financial default timing in the U.S. between 1970 and 2012. The analysis is based on a new reduced-form model of correlated default timing, in which the event arrival rate is allowed to depend on past defaults and time-varying risk factors, some of which cannot be measured. The likelihood estimates provide...