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Reduced-form models of correlated default timing: a systematic literature review

Author

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  • Ha Nguyen
  • Xian Zhou

Abstract

Purpose - This paper aims to provide an overview, a classification of existing research groups for correlated default models using a reduced-form method and an identification of future research opportunities in the field. Design/methodology/approach - A systematic literature review is used for the identification, selection, evaluation and synthesis of relevant literature using keywords regarding the reduced-form default models in the Web of Science database. The authors also add articles from cross-referencing and expert recommendations to the literature. HistCite™program is used to generate a citation map of the literature. Findings - The results show that reduced-form correlated default risk models are developing towards modelling credit risk with both observable and unobservable variables. The frailty correlated default model at the firm level is still a potential research field. Originality/value - This is the first paper systematically reviewing the research on reduced-form models of default timing.

Suggested Citation

  • Ha Nguyen & Xian Zhou, 2022. "Reduced-form models of correlated default timing: a systematic literature review," Journal of Accounting Literature, Emerald Group Publishing Limited, vol. 45(1), pages 190-205, December.
    • Handle: RePEc:eme:jalpps:jal-08-2022-0091
    DOI: 10.1108/JAL-08-2022-0091
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