{"id":"https://openalex.org/W2185016091","doi":"https://doi.org/10.1080/07350015.2015.1087855","title":"Default Correlations and Large-Portfolio Credit Analysis","display_name":"Default Correlations and Large-Portfolio Credit Analysis","publication_year":2015,"publication_date":"2015-09-26","ids":{"openalex":"https://openalex.org/W2185016091","doi":"https://doi.org/10.1080/07350015.2015.1087855","mag":"2185016091"},"language":"en","primary_location":{"id":"doi:10.1080/07350015.2015.1087855","doi":"https://doi.org/10.1080/07350015.2015.1087855","is_oa":false,"landing_page_url":"https://doi.org/10.1080/07350015.2015.1087855","pdf_url":null,"source":{"id":"https://openalex.org/S18095783","display_name":"Journal of Business and Economic Statistics","issn_l":"0735-0015","issn":["0735-0015","1537-2707"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-a","fnege-1","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Business &amp; Economic Statistics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://figshare.com/articles/journal_contribution/Default_Correlations_and_Large-Portfolio_Credit_Analysis/3830304","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5065142478","display_name":"Jin\u2010Chuan Duan","orcid":"https://orcid.org/0000-0002-0715-4905","observed_orcids":["https://orcid.org/0000-0002-0715-4905"]},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]},{"id":"https://openalex.org/I4405277760","display_name":"Risk Management Institute","ror":"https://ror.org/03sgmjc85","country_code":"SG","type":"facility","lineage":["https://openalex.org/I4405277760"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Jin-Chuan Duan","raw_affiliation_strings":["Risk Management Institute, Business School and Department of Economics, National University of Singapore, Singapore ()"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Risk Management Institute, Business School and Department of Economics, National University of Singapore, Singapore ()","institution_ids":["https://openalex.org/I165932596","https://openalex.org/I4405277760"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5000771824","display_name":"Weimin Miao","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]},{"id":"https://openalex.org/I4405277760","display_name":"Risk Management Institute","ror":"https://ror.org/03sgmjc85","country_code":"SG","type":"facility","lineage":["https://openalex.org/I4405277760"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Weimin Miao","raw_affiliation_strings":["Risk Management Institute, National University of Singapore, Singapore ()"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Risk Management Institute, National University of Singapore, Singapore ()","institution_ids":["https://openalex.org/I165932596","https://openalex.org/I4405277760"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.8291,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.93516419,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"34","issue":"4","first_page":"536","last_page":"546"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.8026999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.8026999831199646,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.10360000282526016,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11653","display_name":"Financial Distress and Bankruptcy Prediction","score":0.03519999980926514,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/default-correlation","display_name":"default correlation","score":0.9440000057220459},{"id":"https://openalex.org/keywords/portfolio-credit-risk","display_name":"portfolio credit risk","score":0.7260000109672546},{"id":"https://openalex.org/keywords/corporate-default","display_name":"corporate default","score":0.4880000054836273},{"id":"https://openalex.org/keywords/factor-models","display_name":"factor models","score":0.6510000228881836},{"id":"https://openalex.org/keywords/portfolio-loss-distribution","display_name":"portfolio loss distribution","score":0.8100000023841858}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7783801555633545},{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.6618787050247192},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.6287030577659607},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6077277064323425},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.6077175140380859},{"id":"https://openalex.org/C26457952","wikidata":"https://www.wikidata.org/wiki/Q1655033","display_name":"iTraxx","level":5,"score":0.5319210886955261},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.5146306753158569},{"id":"https://openalex.org/C133930124","wikidata":"https://www.wikidata.org/wiki/Q1460730","display_name":"Loss given default","level":4,"score":0.45407402515411377},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.44337353110313416},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3467680811882019},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3089459538459778},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.21407288312911987},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.16136705875396729},{"id":"https://openalex.org/C2864544","wikidata":"https://www.wikidata.org/wiki/Q2914988","display_name":"Capital requirement","level":3,"score":0.07901650667190552},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.06317910552024841},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.0},{"id":"https://openalex.org/C29122968","wikidata":"https://www.wikidata.org/wiki/Q1414816","display_name":"Incentive","level":2,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1080/07350015.2015.1087855","doi":"https://doi.org/10.1080/07350015.2015.1087855","is_oa":false,"landing_page_url":"https://doi.org/10.1080/07350015.2015.1087855","pdf_url":null,"source":{"id":"https://openalex.org/S18095783","display_name":"Journal of Business and Economic Statistics","issn_l":"0735-0015","issn":["0735-0015","1537-2707"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","dongbi-a","fnege-1","jufo-3","norway-2","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Business &amp; Economic Statistics","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.728.2919","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.728.2919","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.rmi.nus.edu.sg/duanjc/index_files/files/Default_Correlations_Aug_24_2015.pdf","raw_type":"text"},{"id":"pmh:oai:scholarbank.nus.edu.sg:10635/141473","doi":null,"is_oa":false,"landing_page_url":"http://scholarbank.nus.edu.sg/handle/10635/141473","pdf_url":null,"source":{"id":"https://openalex.org/S7407052290","display_name":"National University of Singapore","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Taylor & Francis","raw_type":"Article"},{"id":"pmh:oai:RePEc:taf:jnlbes:v:34:y:2016:i:4:p:536-546","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1080/07350015.2015.1087855","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:figshare.com:article/3830304","doi":null,"is_oa":true,"landing_page_url":"https://figshare.com/articles/journal_contribution/Default_Correlations_and_Large-Portfolio_Credit_Analysis/3830304","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"doi:10.6084/m9.figshare.3830304.v1","doi":"https://doi.org/10.6084/m9.figshare.3830304.v1","is_oa":true,"landing_page_url":"https://doi.org/10.6084/m9.figshare.3830304.v1","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"pmh:oai:figshare.com:article/3830304","doi":null,"is_oa":true,"landing_page_url":"https://figshare.com/articles/journal_contribution/Default_Correlations_and_Large-Portfolio_Credit_Analysis/3830304","pdf_url":null,"source":{"id":"https://openalex.org/S4377196282","display_name":"Figshare","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210132348","host_organization_name":"Figshare (United Kingdom)","host_organization_lineage":["https://openalex.org/I4210132348"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":48,"referenced_works":["https://openalex.org/W107751785","https://openalex.org/W249306890","https://openalex.org/W1573301526","https://openalex.org/W1661687749","https://openalex.org/W1908216331","https://openalex.org/W1965125844","https://openalex.org/W1981638497","https://openalex.org/W2003753589","https://openalex.org/W2038601479","https://openalex.org/W2040373108","https://openalex.org/W2045782147","https://openalex.org/W2053427862","https://openalex.org/W2057535756","https://openalex.org/W2069753003","https://openalex.org/W2073681337","https://openalex.org/W2074682976","https://openalex.org/W2079548532","https://openalex.org/W2079775628","https://openalex.org/W2082169500","https://openalex.org/W2087934179","https://openalex.org/W2098056745","https://openalex.org/W2101593446","https://openalex.org/W2106572081","https://openalex.org/W2113832560","https://openalex.org/W2119862467","https://openalex.org/W2130351130","https://openalex.org/W2135046866","https://openalex.org/W2139245512","https://openalex.org/W2145962650","https://openalex.org/W2154514661","https://openalex.org/W2165053060","https://openalex.org/W2165697716","https://openalex.org/W2170680356","https://openalex.org/W2237769465","https://openalex.org/W2282382832","https://openalex.org/W2471591028","https://openalex.org/W3098826229","https://openalex.org/W3099609308","https://openalex.org/W3101788651","https://openalex.org/W3121956887","https://openalex.org/W3122318214","https://openalex.org/W3122324780","https://openalex.org/W3122906726","https://openalex.org/W3123258340","https://openalex.org/W3123829312","https://openalex.org/W3125149866","https://openalex.org/W3125637821","https://openalex.org/W7095179870"],"related_works":["https://openalex.org/W2082169500","https://openalex.org/W2050247468","https://openalex.org/W2160683215","https://openalex.org/W3123029577","https://openalex.org/W7100864637","https://openalex.org/W3023640629","https://openalex.org/W7113782934","https://openalex.org/W4394780093","https://openalex.org/W2138059944","https://openalex.org/W3122533339"],"abstract_inverted_index":{"A":[0],"factor":[1,34,154],"model":[2,10,35,66,155],"with":[3,58,138,149,157],"sparsely":[4],"correlated":[5],"residuals":[6],"is":[7],"used":[8,39],"to":[9,40],"short-term":[11],"probabilities":[12],"of":[13,76,97,117,145],"default":[14,30,98,101],"and":[15,23,47,67,80,89,105],"other":[16],"corporate":[17],"exits":[18],"while":[19],"permitting":[20],"missing":[21],"data,":[22],"serves":[24],"as":[25],"the":[26,65,68,94,143,158],"basis":[27],"for":[28,165],"generating":[29],"correlations.":[31,99],"This":[32],"novel":[33,60],"can":[36,135],"then":[37],"be":[38],"produce":[41],"portfolio":[42,55,69,125,168],"credit":[43,54,126,147,167],"risk":[44,127],"profiles":[45,128],"(default-rate":[46],"portfolio-loss":[48,106],"distributions)":[49],"by":[50],"complementing":[51],"an":[52],"existing":[53],"aggregation":[56,70,159],"method":[57,71],"a":[59,73,113,150,162],"simulation\u2013convolution":[61],"algorithm.":[62],"We":[63],"apply":[64],"on":[72,82],"global":[74],"sample":[75],"40,560":[77],"exchange-listed":[78],"firms":[79],"focus":[81],"three":[83],"large":[84],"portfolios":[85],"(the":[86],"U.S.,":[87],"Eurozone-12,":[88],"ASEAN-5).":[90],"Our":[91,120,153],"results":[92,121],"reaffirm":[93],"critical":[95],"importance":[96,144],"With":[100],"correlations,":[102],"both":[103],"default-rate":[104],"distributions":[107],"become":[108],"far":[109],"more":[110],"right-skewed,":[111],"reflecting":[112],"much":[114],"higher":[115],"likelihood":[116],"defaulting":[118],"together.":[119],"also":[122],"reveal":[123],"that":[124],"evaluated":[129],"at":[130],"two":[131],"different":[132],"time":[133],"points":[134],"change":[136],"drastically":[137],"moving":[139],"economic":[140],"conditions,":[141],"suggesting":[142],"modeling":[146],"risks":[148],"dynamic":[151],"system.":[152],"coupled":[156],"algorithm":[160],"provides":[161],"useful":[163],"tool":[164],"active":[166],"management.":[169]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":4},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":3}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
