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.
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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.
|Item Type:||Journal Article|
|Additional Information:||Copyright of this article belongs to Springer.|
|Keywords:||Credit risk(+);Compound gamma distribution;Value at risk;Risk contribution;Correlation;Portfolio loss distribution;Moment generating function.|
|Department/Centre:||Division of Physical & Mathematical Sciences > Mathematics|
|Date Deposited:||15 Jul 2009 04:14|
|Last Modified:||19 Sep 2010 05:35|
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