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SUMMARY:The role of macroeconomic conditions and business inter-linkages i
 n corporate default correlation - Ramona Meyricke\, 4cmr
DTSTART:20101207T120000Z
DTEND:20101207T130000Z
UID:TALK28300@talks.cam.ac.uk
CONTACT:paul haynes
DESCRIPTION:Abstract: The paper investigates when and why UK corporate def
 aults tend to occur at the same time. Default correlation may be caused by
  either common dependence on macroeconomic (systematic) risk factors or to
  other\, possibly unobservable\, factors arising from business inter-conne
 ctions (such as input-output linkages or trade credit contracts). The pape
 r presents findings that macroeconomic conditions have a large impact on c
 orporate default risk\, but that the residual correlation between the erro
 r terms of the macro model's equations shows that not all sectoral interde
 pendence is explained by macroeconomic conditions. \n\n
LOCATION:Laundress Lane Seminar Room 1
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