The credit risk+ model with general sector correlations

Amogh Deshpande, Srikanth Iyer

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)219-228
Number of pages10
JournalCentral European Journal of Operations Research
Volume17
Issue number2
DOIs
Publication statusPublished - 2009
Externally publishedYes

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