EconStor >
Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/37108
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorRösch, Danielen_US
dc.contributor.authorScheule, Haralden_US
dc.date.accessioned2009-06-17en_US
dc.date.accessioned2010-08-03T13:09:59Z-
dc.date.available2010-08-03T13:09:59Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/37108-
dc.description.abstractCredit risk is an important issue in many finance areas, such as the determination of cost of capital, the valuation of corporate bonds and pricing of credit derivatives. Credit risk has also been a cause and consequence of the current financial crisis. Thus, methods for measuring credit risk, default probabilities, and recoveries have caught more and more attention in the financial literature. The majority of industry credit portfolio risk models, as well as recent scientific results, are based on isolated modules for default probabilities and recoveries in the event of default. This paper shows that these common methods lead to various econometric drawbacks when the parameters are interpreted and aggregated for risk capital allocation and pricing purposes. This paper provides a top down approach in which individual credit risk parameters are derived analytically from a single model. This model allows for a i) dynamic, ii) consistent, and iii) unbiased modeling of credit portfolio risks. An empirical analysis provides evidence for the inferred relationship between credit quality, recovery and correlation.en_US
dc.language.isoengen_US
dc.publisherWirtschaftswiss. Fak., Leibniz Univ. Hannoveren_US
dc.relation.ispartofseriesDiscussion papers // School of Economics and Management of the Hanover Leibniz University 418en_US
dc.subject.jelG20en_US
dc.subject.jelG28en_US
dc.subject.jelC51en_US
dc.subject.ddc330en_US
dc.subject.keywordAsset Valueen_US
dc.subject.keywordCorrelationen_US
dc.subject.keywordCredit Portfolioen_US
dc.subject.keywordLoss Given Defaulten_US
dc.subject.keywordMerton Modelen_US
dc.subject.keywordProbability of Defaulten_US
dc.subject.keywordRecoveryen_US
dc.subject.keywordVolatilityen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwÖkonometrisches Modellen_US
dc.subject.stwValue at Risken_US
dc.subject.stwKorrelationen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwRentenmarkten_US
dc.subject.stwUSAen_US
dc.titleThe empirical relation between credit quality, recovery and correlationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn601901002en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

Files in This Item:
File Description SizeFormat
601901002.pdf538.51 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.