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Asset Correlations and Credit Portfolio Risk An Empirical Analysis
Year Of Publication: 2006
Month Of Publication: August
Pages: 28
Download Count: 525
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 1-21-2007
Publisher: Administrator
Summary
In credit risk modelling, the correlation of asset returns is a crucial component for the measurement of portfolio risk. Empirically, correlation estimation is often challenging as asset values are not directly observable. In this paper, we esitmate asset correlations from the time series of firms' asset values. Our sample comprises monthly time series of Moody's KMV asset values for aournd 2,000 European firms from 1996 to 2004. We compare correlation and value-at-risk (VaR) estimates in a one-factor or market model and a multi-factor or sector model.
Author(s)
Duellmann, Klaus Sign in to follow this author
Scheicher, Martin Sign in to follow this author
Schmieder, Christian Sign in to follow this author
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