with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us … with access to highly granular risk information on loan volumes and banks' internal estimates of default probabilities …

In this paper we stress-test credit portfolios of 28 German banks based on a Mertontype multi-factor credit risk model …%-80% for the total portfolio. This result confirms the need to account for hidden sectoral concentration risk because the … increase in expected loss is driven mainly by correlation effects with related industry sectors. Therefore, credit risk …

with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us … with access to highly granular risk information on loan volumes and banks' internal estimates of default probabilities …

simulations show that this new estimation technique outperforms other possible transformations by having a lower bias and RMSE as …

In the work of the Basel Committee there has been a tradition of distinguishing market from credit risk and to treat … both categories independently in the calculation of risk capital. In practice positions in a portfolio depend … simultaneously on both market and credit risk factors. In this case, an approximation of the portfolio value function splitting value …

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default … swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from … correlation risk premium. This premium, which covaries negatively with current realized correlations and positively with future …

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 …

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can … substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable "infection model" can … provide a meaningful estimate of the impact of concentration risk on the VaR. I apply rather parsimonious data requirements …