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dc.contributor.authorDüllmann, Klausen
dc.contributor.authorScheicher, Martinen
dc.contributor.authorSchmieder, Christianen
dc.date.accessioned2009-01-28T16:05:38Z-
dc.date.available2009-01-28T16:05:38Z-
dc.date.issued2007-
dc.identifier.urihttp://hdl.handle.net/10419/19772-
dc.description.abstractIn credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one-factor or market model and a multi-factor or sector model. Our main finding is a complex interaction of credit risk correlations and default probabilities affecting total credit portfolio risk. Differentiation between industry sectors when using the sector model instead of the market model has only a secondary effect on credit portfolio risk, at least for the underlying credit portfolio. Averaging firm-dependent asset correlations on a sector level can, however, cause a substantial underestimation of the VaR in a portfolio with heterogeneous borrower size. This result holds for the market as well as the sector model. Furthermore, the VaR of the IRB model is more stable over time than the VaR of the market model and the sector model, while its distance from the other two models fluctuates over time.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2007,13en
dc.subject.jelC15en
dc.subject.jelG21en
dc.subject.ddc330en
dc.subject.keywordAsset correlationsen
dc.subject.keywordsector concentrationen
dc.subject.keywordcredit portfolio risken
dc.subject.stwKreditrisikoen
dc.subject.stwValue at Risken
dc.subject.stwPortfolio-Managementen
dc.subject.stwBuchwerten
dc.subject.stwKorrelationen
dc.subject.stwEuropaen
dc.titleAsset correlations and credit portfolio risk: an empirical analysis-
dc.typeWorking Paperen
dc.identifier.ppn54627062Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:6352en

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