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 …

correlation into a commonly used model of default and portfolio credit risk by allowing for dependency between firm default risk …

to as PD-LGD correlation (here PD refers to probability of default, which is often used synonymously with default rate …). There is a large literature on modelling stochastic LGD and PD-LGD correlation, but there is a dearth of literature on using … deviation probabilities across a wide variety of PD-LGD correlation models that have been proposed in the literature. …

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 …