Asset correlations and credit portfolio risk: an empirical analysis

Research, Preprint OPEN
Düllmann, Klaus; Scheicher, Martin; Schmieder, Christian;
  • Publisher: Frankfurt a. M.: Deutsche Bundesbank
  • Subject: Value at Risk | Europa | Kreditrisiko | Buchwert | C15 | G21 | Asset correlations | Asset correlations,sector concentration,credit portfolio risk | Portfolio-Management | Korrelation | sector concentration | credit portfolio risk
    • jel: jel:C15 | jel:G21
      ddc: ddc:330

In 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 ... View more
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