Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

default sign in to follow this
credit sign in to follow this
risk sign in to follow this
loan sign in to follow this
portfolios sign in to follow this
Categories:

VaR Uses sign in to follow this
--Credit Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Default Probabilities and Default Correlations
Company: University of Heidelberg
Year Of Publication: 2001
Month Of Publication: November
Pages: 50
Download Count: 1525
View Count: 10034
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-15-2003
Publisher: Administrator
Summary
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default probabilities and default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations with other loans. As a consequence portfolio standard deviation can increase substantially when loan default probabilities rise.
Author(s)
Erlenmaier, Ulrich Sign in to follow this author
Gersbach, Hans Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile