Firm Defaults and the Correlation Effect
研究银行贷款违约的相关性如何取决于资产收益的相关性，并分析宏观经济风险如何影响相关性和分散化，发现不利冲击不仅提高违约概率，还提高违约相关性，后者可解释信用风险上升的50%以上。
Abstract We examine how the correlations of bank loan defaults depend on the correlations of asset returns and how correlations and diversification are affected by macroeconomic risks. We highlight the main properties of the relationship between asset returns and default correlations, illustrating how adverse macroeconomic shocks raise not only the likelihood of defaults, but also the correlation of defaults. The latter effect, called correlation effect, may account for more than 50% of the increase in the credit risk.