Risikofaktoren und Korrelationen für Bonitätsveränderungen

Alfred Hamerle and Daniel Rösch ()
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Alfred Hamerle: Universität Regensburg
Daniel Rösch: Universität Regensburg

Schmalenbach Journal of Business Research, 2003, vol. 55, issue 3, 199-223

Abstract: Summary One of the greatest challenges in modeling credit portfolio risk is the issue of correlations between borrowers. Up to now no consistent methodology for identifying correlations exists. In general two approaches are employed: “direct” and “indirect” modeling. While the former specify correlation parameters themselves, indirect models assume that correlations between credit qualities or defaults are due to exposures to common risk factors. Given the values of the risk factors borrowers are assumed to be conditionally independent. However, the identity of these risk factors is still ambiguous. We present a new dynamic approach which identifies these common factors and tests the assumption of conditional independence. Our empirical study supports this assumption. This considerably facilitates Value-at-Risk analyses. Furthermore the results indicate that a dynamic modeling of credit risk should be favored against the prevalent static setting.

Keywords: C23; G21; G28; Correlation of Rating Migrations; Credit Rating; Default Correlation; Panel Regression; Risk Factors; Default-Korrelation; Panel Regression; Risikofaktoren (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1007/BF03372704

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