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Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay (contributor); Weber, Stefan (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919109
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Default correlations, macroeconomic risk and credit portfolio management
Gersbach, Hans; Lipponer, Alexander - 1999
Persistent link: https://www.econbiz.de/10001475214
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Stress testing German banks in a downturn in the automobile industry
Düllmann, Klaus; Erdelmeier, Martin - 2009
increase in expected loss is driven mainly by correlation effects with related industry sectors. Therefore, credit risk … of intra-sector asset correlations. -- Asset correlation ; portfolio credit risk ; stress test ; sectoral credit …
Persistent link: https://www.econbiz.de/10003813026
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The correlation puzzle : the interaction of bond and risk correlation
Bethke, Sebastian; Kempf, Alexander; Gehde-Trapp, Monika - 2013 - This version: August 7, 2013
Diversification benefits depend on the correlation between assets. Unfortunately, asset correlation increases when it … is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be … higher during the financial crisis in 2008. Increased bond correlation results from higher correlation between corporate bond …
Persistent link: https://www.econbiz.de/10009777926
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Is firm interdependence within industries important for portfolio credit risk?
Carling, Kenneth; Rönnegård, Lars; Roszbach, Kasper - 2004
correlation into a commonly used model of default and portfolio credit risk by allowing for dependency between firm default risk …
Persistent link: https://www.econbiz.de/10011584809
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Modelling correlations in credit portfolio risk II
Rosenow, Bernd (contributor); Weißbach, Rafael (contributor) - 2007
estimation which avoids in a controlled way the underestimation of correlation risk. Empirical evidence is presented how, in the …
Persistent link: https://www.econbiz.de/10003482859
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The empirical relation between credit quality, recovery, and correlation
Rösch, Daniel; Scheule, Harald - 2009
Persistent link: https://www.econbiz.de/10003975032
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Default probabilities and default correlations under stress
Packham, Natalie; Kalkbrener, Michael; Overbeck, Ludger - 2014
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions...
Persistent link: https://www.econbiz.de/10010348358
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Default probabilities and default correlations
Gersbach, Hans - 2001 - First Version: April 2000, This Version: October 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10010503718
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The pricing of correlated default risk : evidence from the credit derivatives market
Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008
asset return correlations are too low to account for the spreads of index tranches and, thus, point to a large correlation … realized correlations, sheds light on market perceptions of and attitude towards correlation risk. …
Persistent link: https://www.econbiz.de/10003721579