- 1 Introduction
- 2 Data description
- 3 Methodology
- 3.1 Momentum-sensitive rating transition matrices
- 3.2 Insensitive rating transition matrices
- 3.3 Calculating the portfolio VaR
- 3.4 Momentum-sensitive VaR
- 3.5 Insensitive VaR versus mean momentum-sensitive VaR
- 4 Empirical results
- 4.1 Momentum-sensitive rating transition matrices for the period 1996–2005
- 4.2 Credit portfolio risk—base case results
- 4.3 Explanations for the base case results
- 4.4 Sensitivity analysis
- 5 Conclusion
- References
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