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dc.contributor.authorRösch, Danielen
dc.contributor.authorScheule, Haralden
dc.date.accessioned2009-06-17-
dc.date.accessioned2010-08-03T13:09:59Z-
dc.date.available2010-08-03T13:09:59Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x418en
dc.subject.jelG20en
dc.subject.jelG28en
dc.subject.jelC51en
dc.subject.ddc330en
dc.subject.keywordAsset Valueen
dc.subject.keywordCorrelationen
dc.subject.keywordCredit Portfolioen
dc.subject.keywordLoss Given Defaulten
dc.subject.keywordMerton Modelen
dc.subject.keywordProbability of Defaulten
dc.subject.keywordRecoveryen
dc.subject.keywordVolatilityen
dc.subject.stwKreditrisikoen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwPortfolio-Managementen
dc.subject.stwÖkonometrisches Modellen
dc.subject.stwValue at Risken
dc.subject.stwKorrelationen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwRentenmarkten
dc.subject.stwUSAen
dc.titleThe empirical relation between credit quality, recovery and correlation-
dc.type|aWorking Paperen
dc.identifier.ppn601901002en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-418en

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