Significance of Controllable and Uncontrollable Drivers in Credit Defaults

Lei Shi, Neil Allan, John Evans*, Yin Yun

*Corresponding author for this work

    Research output: Contribution to journalArticle (Academic Journal)peer-review

    4 Citations (Scopus)

    Abstract

    The world economy has been shown to be a complex adaptive system with the consequence that companies within the global economy are constantly needing to react to influences from the activities of other companies with which they are interconnected and external influences. This paper uses a methodology developed for complex adaptive systems to analyse the characteristics of multiple credit default events in the United States, Europe and Asia over the period 1990–2010 to establish the significance of factors driving credit defaults. The analysis indicates that factors controllable by companies are more significant in the United States and Europe than uncontrollable events, but the reverse occurs in Asia.

    Original languageEnglish
    Pages (from-to)30-41
    Number of pages12
    JournalEconomic Papers
    Volume37
    Issue number1
    Early online date21 Dec 2017
    DOIs
    Publication statusPublished - 1 Mar 2018

    Keywords

    • cladistics analysis
    • complex systems
    • credit risk
    • credit risk drivers
    • logit regression

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