IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-4-431-28915-9_49.html
   My bibliography  Save this book chapter

Conservative Estimation of Default Rate Correlations

In: Practical Fruits of Econophysics

Author

Listed:
  • Bernd Rosenow

    (Universität zu Köln)

  • Rafael Weißbach

    (Universität Dortmund)

Abstract

Summary The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. We present statistical evidence that a (one-) factorial model is sufficient to describe PD correlations, and suggest a method of parameter estimation which avoids in a controlled way the underestimation of correlation risk.

Suggested Citation

  • Bernd Rosenow & Rafael Weißbach, 2006. "Conservative Estimation of Default Rate Correlations," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 272-276, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_49
    DOI: 10.1007/4-431-28915-1_49
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-4-431-28915-9_49. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.