{"title":"相关违约时间的简化形式模型:系统文献综述","authors":"Ha Nguyen, Xian Zhou","doi":"10.1108/jal-08-2022-0091","DOIUrl":null,"url":null,"abstract":"PurposeThis 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/approachA 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.FindingsThe 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/valueThis is the first paper systematically reviewing the research on reduced-form models of default timing.","PeriodicalId":45666,"journal":{"name":"Journal of Accounting Literature","volume":" ","pages":""},"PeriodicalIF":1.1000,"publicationDate":"2022-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Reduced-form models of correlated default timing: a systematic literature review\",\"authors\":\"Ha Nguyen, Xian Zhou\",\"doi\":\"10.1108/jal-08-2022-0091\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"PurposeThis 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/approachA 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.FindingsThe 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/valueThis is the first paper systematically reviewing the research on reduced-form models of default timing.\",\"PeriodicalId\":45666,\"journal\":{\"name\":\"Journal of Accounting Literature\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":1.1000,\"publicationDate\":\"2022-12-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Accounting Literature\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1108/jal-08-2022-0091\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Accounting Literature","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1108/jal-08-2022-0091","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 4
摘要
目的本文旨在使用简化形式方法对相关违约模型的现有研究小组进行概述、分类,并确定该领域未来的研究机会。设计/方法/方法系统的文献综述用于识别、选择、评估和综合相关文献,使用与Web of Science数据库中的简化形式默认模型有关的关键词。作者还将交叉引用和专家推荐的文章添加到文献中。HistCite™ 该程序用于生成文献的引文地图。研究结果表明,降阶相关违约风险模型正朝着同时具有可观察变量和不可观察变量的信用风险建模方向发展。企业层面的脆弱性相关违约模型仍然是一个潜在的研究领域。独创性/价值这是第一篇系统地回顾违约时间简化模型研究的论文。
Reduced-form models of correlated default timing: a systematic literature review
PurposeThis 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/approachA 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.FindingsThe 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/valueThis is the first paper systematically reviewing the research on reduced-form models of default timing.
期刊介绍:
The objective of the Journal is to publish papers that make a fundamental and substantial contribution to the understanding of accounting phenomena. To this end, the Journal intends to publish papers that (1) synthesize an area of research in a concise and rigorous manner to assist academics and others to gain knowledge and appreciation of diverse research areas or (2) present high quality, multi-method, original research on a broad range of topics relevant to accounting, auditing and taxation. Topical coverage is broad and inclusive covering virtually all aspects of accounting. Consistent with the historical mission of the Journal, it is expected that the lead article of each issue will be a synthesis article on an important research topic. Other manuscripts to be included in a given issue will be a mix of synthesis and original research papers. In addition to traditional research topics and methods, we actively solicit manuscripts of the including, but not limited to, the following: • meta-analyses • field studies • critiques of papers published in other journals • emerging developments in accounting theory • commentaries on current issues • innovative experimental research with strong grounding in cognitive, social or anthropological sciences • creative archival analyses using non-standard methodologies or data sources with strong grounding in various social sciences • book reviews • "idea" papers that don''t fit into other established categories.