The credit risk + model with general sector correlations
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
Volume (Year): 17 (2009)
Issue (Month): 2 (June)
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- Gordy, Michael B., 2002. "Saddlepoint approximation of CreditRisk+," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1335-1353, July.
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