Credit risk: Taking fluctuating asset correlations into account
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Michael C. Munnix & Takashi Shimada & Rudi Schafer & Francois Leyvraz Thomas H. Seligman & Thomas Guhr & H. E. Stanley, 2012. "Identifying States of a Financial Market," Papers 1202.1623, arXiv.org.
- Sandoval, Leonidas & Franca, Italo De Paula, 2012. "Correlation of financial markets in times of crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 187-208.
- Mainik, Georg & Embrechts, Paul, 2013. "Diversification in heavy-tailed portfolios: properties and pitfalls," Annals of Actuarial Science, Cambridge University Press, vol. 7(1), pages 26-45, March.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- John C. Hull, 2009. "The Credit Crunch of 2007: What Went Wrong? Why? What Lessons Can be Learned?," World Scientific Book Chapters, in: Douglas D Evanoff & Philipp Hartmann & George G Kaufman (ed.), The First Credit Market Turmoil Of The 21st Century Implications for Public Policy, chapter 11, pages 161-174, World Scientific Publishing Co. Pte. Ltd..
- Yiting Zhang & Gladys Hui Ting Lee & Jian Cheng Wong & Jun Liang Kok & Manamohan Prusty & Siew Ann Cheong, 2010. "Will the US Economy Recover in 2010? A Minimal Spanning Tree Study," Papers 1009.5800, arXiv.org, revised Dec 2010.
- Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Scholarly Articles 2624460, Harvard University Department of Economics.
- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
- Zhang, Yiting & Lee, Gladys Hui Ting & Wong, Jian Cheng & Kok, Jun Liang & Prusty, Manamohan & Cheong, Siew Ann, 2011. "Will the US economy recover in 2010? A minimal spanning tree study," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2020-2050.
- Ibragimov, Rustam & Walden, Johan, 2007. "The limits of diversification when losses may be large," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2551-2569, August.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Andreas Muhlbacher & Thomas Guhr, 2018. "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Papers 1803.00261, arXiv.org.
- Andreas Mühlbacher & Thomas Guhr, 2018. "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Risks, MDPI, vol. 6(2), pages 1-25, April.
- Andreas Mühlbacher & Thomas Guhr, 2018. "Extreme Portfolio Loss Correlations in Credit Risk," Risks, MDPI, vol. 6(3), pages 1-25, July.
- Andreas Muhlbacher & Thomas Guhr, 2017. "Extreme portfolio loss correlations in credit risk," Papers 1706.09809, arXiv.org.
- Thomas Guhr & Andreas Schell, 2020. "Exact Multivariate Amplitude Distributions for Non-Stationary Gaussian or Algebraic Fluctuations of Covariances or Correlations," Papers 2011.07570, arXiv.org.
- Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006.
"Macroeconomic Dynamics and Credit Risk: A Global Perspective,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
- M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, "undated". "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & M. Hashem Pesaran, 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," CESifo Working Paper Series 995, CESifo.
- Pesaran, M.H. & Schuermann, T. & Treutler, B-J. & Weiner, S.M., 2003. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Cambridge Working Papers in Economics 0330, Faculty of Economics, University of Cambridge.
- Djauhari, Maman Abdurachman & Gan, Siew Lee, 2015. "Optimality problem of network topology in stocks market analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 108-114.
- Ephraim Clark & Geeta Lakshmi, 2003. "Controlling the risk: a case study of the Indian liquidity crisis 1990-92," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(3), pages 285-298.
- Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April.
- Bank for International Settlements, 2011. "Portfolio and risk management for central banks and sovereign wealth funds," BIS Papers, Bank for International Settlements, number 58.
- Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
- Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model," Papers 0912.3028, arXiv.org.
- Kanak Patel & Prodromos Vlamis, 2006. "An Empirical Estimation of Default Risk of the UK Real Estate Companies," The Journal of Real Estate Finance and Economics, Springer, vol. 32(1), pages 21-40, February.
- Greta Falavigna, 2006. "Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks," CERIS Working Paper 200610, CNR-IRCrES Research Institute on Sustainable Economic Growth - Torino (TO) ITALY - former Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY.
- Patrick Gagliardini, 2005.
"Stochastic Migration Models with Application to Corporate Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 188-226.
- Patrick Gagliardini & Christian Gourieroux, 2004. "Stochastic Migration Models with Application to Corporate Risk," Working Papers 2004-35, Center for Research in Economics and Statistics.
- Yan, Alice Xie & Shi, Jian & Wu, Chunchi, 2008. "Do macroeconomic variables matter for pricing default risk?," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 279-291.
- Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
- Daniel Rösch & Harald Scheule, 2011.
"Securitization rating performance and agency incentives,"
BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314,
Bank for International Settlements.
- Daniel Roesch & Harald Scheule, 2011. "Securitization Rating Performance and Agency Incentives," Working Papers 182011, Hong Kong Institute for Monetary Research.
- Millington, Tristan & Niranjan, Mahesan, 2021. "Stability and similarity in financial networks—How do they change in times of turbulence?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
- Mari, Carlo & Reno, Roberto, 2005. "Credit risk analysis of mortgage loans: An application to the Italian market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 83-93, May.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2016-02-04 (Risk Management)
Statistics
Access and download statisticsCorrections
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:arx:papers:1601.03015. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.