correlation. …

factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads …

is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss …

The paper proposes a new method to estimate correlation of account level Basle II Loss Given Default (LGD). The … correlation determines the probability distribution of portfolio level LGD in the context of a copula model which is used to … we apply the maximum likelihood method to estimate the best correlation parameter. The method is applied and analyzed on …

parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated …In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk … using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and …

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …