Federal Deposit InsuranceCorporation• Center for Financial Researchh
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
FDIC Center for Financial Research
Working Paper
Common Failings: How Corporate Defaults are Correlated
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
September 2004
No. 2004-04
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
Risk-Based Capital Standards,
Deposit Insurance and Procyclicality
FDIC Center for Financial Research
Working Paper
Common Failings: How Corporate Defaults are Correlated
Sanjiv R. Das
Darrell Duffie
Nikunj Kapadia
September 2004
No. 2004-04
Common Failings: How Corporate
Defaults are Correlated1
Sanjiv R. Das
Santa Clara University
Santa Clara, CA 95053
Darrell Duffie
Stanford University
Stanford, CA 94305
Nikunj Kapadia
University of Massachusetts
Amherst, MA 01003.
July 2004
1This research is supported by a fellowship grant from the Federal Deposit
Insurance Corporation (FDIC). We received useful comments from participants
at the FDIC CFR conference, and the QFAFAFEW Group San Francisco. We are
grateful to Mark Flannery, Robert Jarrow, Edward Kane, Paul Kupiec, Dan Nux-
oll, George Pennacchi, Louis Scott, Philip Shively, and Haluk Unal for their sug-
gestions. We are also grateful to Moody’s Investors Services and Gifford Fong
Associates for data and research support for this paper. The first author is grate-
ful for the support of a Breetwor Fellowship.
Defaults are Correlated1
Sanjiv R. Das
Santa Clara University
Santa Clara, CA 95053
Darrell Duffie
Stanford University
Stanford, CA 94305
Nikunj Kapadia
University of Massachusetts
Amherst, MA 01003.
July 2004
1This research is supported by a fellowship grant from the Federal Deposit
Insurance Corporation (FDIC). We received useful comments from participants
at the FDIC CFR conference, and the QFAFAFEW Group San Francisco. We are
grateful to Mark Flannery, Robert Jarrow, Edward Kane, Paul Kupiec, Dan Nux-
oll, George Pennacchi, Louis Scott, Philip Shively, and Haluk Unal for their sug-
gestions. We are also grateful to Moody’s Investors Services and Gifford Fong
Associates for data and research support for this paper. The first author is grate-
ful for the support of a Breetwor Fellowship.