The credit risk+ model with general sector correlations

Amogh Deshpande; Srikanth Iyer

doi:10.1007/s10100-009-0084-4

The credit risk+ model with general sector correlations

Amogh Deshpande, Srikanth Iyer

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	219-228
Number of pages	10
Journal	Central European Journal of Operations Research
Volume	17
Issue number	2
DOIs	https://doi.org/10.1007/s10100-009-0084-4
Publication status	Published - 2009
Externally published	Yes

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title = "The credit risk+ model with general sector correlations",

abstract = "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.",

author = "Amogh Deshpande and Srikanth Iyer",

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AU - Iyer, Srikanth

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JO - Central European Journal of Operations Research

JF - Central European Journal of Operations Research

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The credit risk+ model with general sector correlations

Abstract

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