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The credit risk(+) model with general sector correlations

Deshpande, Amogh and Iyer, Srikanth K (2009) The credit risk(+) model with general sector correlations. In: Central European Journal of Operations Research, 17 (2). pp. 219-228.

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We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.

Item Type: Journal Article
Additional Information: Copyright of this article belongs to Springer.
Keywords: Credit risk(+);Compound gamma distribution;Value at risk;Risk contribution;Correlation;Portfolio loss distribution;Moment generating function.
Department/Centre: Division of Physical & Mathematical Sciences > Mathematics
Depositing User: Id for Latest eprints
Date Deposited: 15 Jul 2009 04:14
Last Modified: 19 Sep 2010 05:35
URI: http://eprints.iisc.ac.in/id/eprint/21010

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