The credit risk+ model with general sector correlations
نویسندگان
چکیده
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.
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ورودعنوان ژورنال:
- CEJOR
دوره 17 شماره
صفحات -
تاریخ انتشار 2009