The credit risk(+) model with general sector correlations
| Data(s) |
01/06/2009
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|---|---|
| Resumo |
We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level. |
| Formato |
application/pdf |
| Identificador |
http://eprints.iisc.ernet.in/21010/1/fulltext.pdf Deshpande, Amogh and Iyer, Srikanth K (2009) The credit risk(+) model with general sector correlations. In: Central European Journal of Operations Research, 17 (2). pp. 219-228. |
| Publicador |
Springer |
| Relação |
http://www.springerlink.com/content/a417738510268u0g/ http://eprints.iisc.ernet.in/21010/ |
| Palavras-Chave | #Mathematics |
| Tipo |
Journal Article PeerReviewed |
