In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...

Roswita Königswieser gehört zu den erfahrensten und erfolgreichsten Organisationsberatern im deutschsprachigen Raum. Zu ihren Kunden zählen Automobilhersteller ebenso wie "Big Players" im Dienstleistungssektor. Was ist das Geheimnis ihres Erfolgs, worin unterscheidet sich ihre Arbeit von der...

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...

Empirical data analysis shows that the business cycles of industrialized nations demonstrate a fairly strong degree of synchronization in periods of growth, and a lesser degree of synchronization during periods of contraction. The current recession, however, breaks this pattern: the business...