search query: @indexterm Credit / total: 493
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| Author: | Hamerle, A. Rosch, D. |
| Title: | Risikofaktoren und Korrelationen für Bonitatsveranderungen |
| Journal: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
2003 : MAY, VOL. 55:3, p. 199-223 |
| Index terms: | CREDIT REGRESSION ANALYSIS RISK MODELS |
| Language: | ger |
| Abstract: | One of the greatest challenges in modeling credit portfolio risk is the issue of correlations between borrowers. Up to now no consistent methodology for identifying correlations exists. In general two approaches are employed: "direct" and "in direct" modeling. While the former specify correlation parameters themselves, in direct models assume that correlations between credit qualities or defaults are due to exposures to common risk factors. Given the values of the risk factors borrowers are assumed to be conditionally independent. However, the identity of these risk factors is still ambiguous. The authors present a new dynamic approach which identifies these common factors and tests the assumption of conditional independence. The authors' empirical study supports this assumption (original in German). |
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