The credit risk + model with general sector correlations

Amogh Deshpande and Srikanth Iyer ()

Central European Journal of Operations Research, 2009, vol. 17, issue 2, 219-228

Abstract: 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. Copyright Springer-Verlag 2009

Keywords: Credit risk +; Compound gamma distribution; Value at risk; Risk contribution; Correlation; Portfolio loss distribution; Moment generating function (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:cejnor:v:17:y:2009:i:2:p:219-228

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DOI: 10.1007/s10100-009-0084-4

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