Modelling Default Rate Dynamics in the CreditRisk+ Framework

Leif Boegelein, Alfred Hamerle, Robert Rauhmeier and Harald Scheule

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

Abstract: When using conditional independence frameworks such as CreditRisk+, identifying multiple sectors that embody systematic factors can be a challenge. Leif Boegelein, Alfred Hamarle, Robert Rauhmeier and Harald Scheule show how the technique of seemingly unrelated regressions can be used for sector analysis, when applied to very large SME (small and medium-size enterprise) portfolios.

Pages: 5 pages
Date: 2002-01-01
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Citations: View citations in EconPapers (3)

Published as: Boegelein, L., Hamerle, A., Scheule, H. and Rauhmeier, R., 2002, "Modelling Default Rate Dynamics in the CreditRisk+ Framework", Risk, 15(10), S24-S28.

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Persistent link: https://EconPapers.repec.org/RePEc:uts:ppaper:2002-1

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