Düllmann, Klaus; Scheicher, Martin; Schmieder, Christian - Deutsche Bundesbank - 2007
In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of … portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2 … multi-factor or sector model. Our main finding is a complex interaction of credit risk correlations and default …