Credit risk clustering in a business group: Which matters more, systematic or idiosyncratic risk?-Reference-Cited by-同舟云学术

Credit risk clustering in a business group: Which matters more, systematic or idiosyncratic risk?

Published:2019-01-01 Issue:1 Volume:7 Page:1632528
ISSN:2332-2039
Container-title:Cogent Economics & Finance
language:en
Short-container-title:Cogent Economics & Finance

Author:

Li Feng¹^ORCID,He Zhuojing²³

Affiliation:

1. School of Statistics and Mathematics, Central University of Finance and Economics, Beijing 100081, China

2. Business School, Central University of Finance and Economics, Beijing 100081, China

3. Present address: Postdoctoral Research Center of Business Administration, Southwestern University of Finance and Economics, Chengdu 611130, Sichuan, China

Publisher

Informa UK Limited

Subject

Economics and Econometrics,Finance

Link

https://www.cogentoa.com/article/10.1080/23322039.2019.1632528.pdf

Reference33 articles.

1. Using Merton model for default prediction: An empirical assessment of selected alternatives

2. Forecasting Default with the Merton Distance to Default Model

3. Tunneling, propping, and expropriation: evidence from connected party transactions in Hong Kong☆

4. Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.

5. Common Failings: How Corporate Defaults Are Correlated

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