Details

Autor(en) / Beteiligte

• Deshpande, Amogh
• Iyer, Srikanth K.

Titel

The credit risk+ model with general sector correlations

Ist Teil von

• Central European journal of operations research, 2009-06, Vol.17 (2), p.219-228

Ort / Verlag

Berlin/Heidelberg: Springer-Verlag

Erscheinungsjahr

2009

Quelle

SpringerLINK Journals

Beschreibungen/Notizen

• 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.