Bei der Modellierung von Kreditportfoliorisiken stellt die Quantifizierung von Korrelationen zwischen Ausfällen bzw. Bonitätsveränderungen eine zentrale Herausforderung dar. Es läßt sich zwischen direkten und indirekten Modellierungsansätzen unterscheiden. Während erstere den...

Among the most crucial input parameters for credit portfolio risk models are the co-movements of default risks. Due to limited empirical evidence about the magnitude of correlations the New Basel Capital Accord sets standard requirements for calculating regulatory capital requirements, e.g. in...

We model multiyear loss distributions based on credit scores and macroeconomic risk drivers. In a two-step approach, we first model future default probabilities as functions of these risk factors and, second, model processes for the risk factors themselves. As an essential extension to one-year...

In addition to “classical” approaches, such as the Gaussian CreditMetrics or Basel II model, recently the use of other copulas has been proposed in the area of credit risk for modeling loss distributions, particularly T copulas which lead to fatter tails ceteris paribus. As an amendment to...

Approaches for modeling and estimating individual credit risk have been considerably improved during the last years, and latterly practitioners and researchers in the banking industry increasingly focus on quantification of portfolio credit risk. The main problem of this task is the lack of...