Convergent Faults: A Quantitative Forensic of Private Credit Synchronized Systemic Risk 2026-2027

Working paper · Opublikowano 2026-06-10

Streszczenie

This paper documents four convergent fault lines in private credit, business development companies, AI infrastructure capex, and Bermuda-domiciled reinsurance, and traces the conditions under which their simultaneous activation produces a non-linear shock. The empirical core is a panel of redemption gates, NAV markdowns, and CDS spreads from 2024 through 2026 Q2. The forensic uses synchronized residuals to test whether the four fault lines are statistically independent or whether their tail movements cluster.

In the press

Larry Swedroe analyzed Convergent Faults by Djellal Djouad (CrossVol Research) in Larry's Substack on 2026-07-13, in the post Private Credit's Convergent Faults: A Warning the Market Is Not Pricing.

The paper does not predict imminent collapse. It maps five distinct risk channels converging on a 12-to-18-month window and argues that the architecture makes that convergence more dangerous than nominal fund-level metrics suggest.

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SocArXiv
Hostowane na SocArXiv
Social Science Open Archive (Center for Open Science)
Otwarty preprint 3cqfx_v1 · Zaakceptowane 2026-06-11
osf.io/preprints/socarxiv/3cqfx_v1

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Cytat BibTeX

@techreport{djouad2026convergentfaults,
  title  = {Convergent Faults: A Quantitative Forensic of Private Credit Synchronized Systemic Risk 2026-2027},
  author = {Djouad, Djellal},
  year   = {2026},
  doi    = {10.5281/zenodo.20558733},
  url    = {https://doi.org/10.5281/zenodo.20558733},
  institution = {CrossVol Research},
}