Keywords: Corporate Default Clustering, International Default Contagion, Tail Risk Spillover
JEL Classifications: F3, G15, G33, C50
학회소식
[2022년 5차 CAFM2022]Global Corporate Default Clustering and Contagion
작성자 : 관리자
조회수 : 325
게시일 :
2022-12-20
This paper evaluates the severity of international corporate default clustering. By em-ploying a dataset that contains a global coverage of corporate default events, I show that corporate default events display an excess degree of clustering in four key regions worldwide: U.S., Europe, Asia Pacific, and Emerging Markets. A rigorous selection of firm-specific variables and systematic variables cannot adequately explain the clustering of corporate default events exhibited in the dataset. Moreover, a severe right tail realization of corporate default events adversely increases the risk of extreme waves of corporate default events in the subsequent periods. After controlling for the impact of domestic corporate default contagion within a region, I identify a novel source of default clustering: International corporate default contagion.
첨부파일
