Matches in SemOpenAlex for { <https://semopenalex.org/work/W2149149093> ?p ?o ?g. }
Showing items 1 to 96 of
96
with 100 items per page.
- W2149149093 abstract "Concentrations in a bank’s credit portfolio are key drivers of credit risk. These risk concentrations may be caused by material concentrations of exposure to individual names as well as large exposures to single sectors (geographic regions or industries) or to several highly correlated sectors. The most common approach to introduce sector concentration into a credit portfolio model is through systematic factors affecting multiple borrowers. The specification of the factor model, which determines the dependence structure of rating migrations and defaults, is a central problem in credit portfolio modeling. Different data sources can be used as input for the calibration of factor models, i.e., equity data, credit spreads or default and rating information. The most frequent approach is based on information from equity markets, mainly due to the good quality and wide coverage of this data source. Since individual firm returns are available, methodologies based on equity information allow for firm-specific pairwise correlations and more granular industry definitions than historical rating data methods. The main disadvantage of equity data is the fact that equity prices do not solely reflect the credit quality of companies but also information that is unrelated to credit risk, e.g. liquidity issues, risk aversion of market participants, etc. Historical rating and default data, on the other hand, are not distorted by information unrelated to credit quality but require some aggregation, typically by rating class, country or industry. Hence, these data sources are natural candidates for validating the dependence structure of credit portfolio models on an aggregate level. In this paper, we shall review the most frequently used techniques for deriving correlations from default and rating data: moment estimators (Lucas, 1995; Bahar and Nagpal, 2001; de Servigny and Renault, 2002; Frey and McNeil, 2003; Jobst and de Servigny, 2005) and maximum likelihood estimators (Gordy and Heitfield, 2002; Demey et al., 2004). Our empirical results are based on S&P rating data from 1981 to 2009. We group the rated companies into cohorts that correspond to industry segments, rating classes or combinations of both. Intra-cohort and inter-cohort correlations are calculated using maximum likelihood estimation. Our results are broadly in line with previous studies reported in the literature:" @default.
- W2149149093 created "2016-06-24" @default.
- W2149149093 creator A5041299754 @default.
- W2149149093 date "2009-10-13" @default.
- W2149149093 modified "2023-09-27" @default.
- W2149149093 title "Validating Structural Credit Portfolio Models" @default.
- W2149149093 cites W149075236 @default.
- W2149149093 cites W1542184596 @default.
- W2149149093 cites W1627896252 @default.
- W2149149093 cites W1716816424 @default.
- W2149149093 cites W1969902605 @default.
- W2149149093 cites W2030284903 @default.
- W2149149093 cites W2037526647 @default.
- W2149149093 cites W2105973145 @default.
- W2149149093 cites W2118320330 @default.
- W2149149093 cites W2139255361 @default.
- W2149149093 cites W2182883530 @default.
- W2149149093 cites W2262885081 @default.
- W2149149093 cites W249306890 @default.
- W2149149093 cites W2560430522 @default.
- W2149149093 cites W2784388390 @default.
- W2149149093 cites W3121129437 @default.
- W2149149093 cites W3123117381 @default.
- W2149149093 cites W3124773624 @default.
- W2149149093 cites W80465380 @default.
- W2149149093 hasPublicationYear "2009" @default.
- W2149149093 type Work @default.
- W2149149093 sameAs 2149149093 @default.
- W2149149093 citedByCount "2" @default.
- W2149149093 countsByYear W21491490932015 @default.
- W2149149093 countsByYear W21491490932017 @default.
- W2149149093 crossrefType "posted-content" @default.
- W2149149093 hasAuthorship W2149149093A5041299754 @default.
- W2149149093 hasConcept C10138342 @default.
- W2149149093 hasConcept C144133560 @default.
- W2149149093 hasConcept C149782125 @default.
- W2149149093 hasConcept C162118730 @default.
- W2149149093 hasConcept C162324750 @default.
- W2149149093 hasConcept C17744445 @default.
- W2149149093 hasConcept C178350159 @default.
- W2149149093 hasConcept C183582576 @default.
- W2149149093 hasConcept C199539241 @default.
- W2149149093 hasConcept C199728807 @default.
- W2149149093 hasConcept C205208723 @default.
- W2149149093 hasConcept C24308983 @default.
- W2149149093 hasConcept C2780821815 @default.
- W2149149093 hasConcept C30589699 @default.
- W2149149093 hasConcept C44309892 @default.
- W2149149093 hasConcept C68842666 @default.
- W2149149093 hasConcept C89997419 @default.
- W2149149093 hasConcept C90992651 @default.
- W2149149093 hasConceptScore W2149149093C10138342 @default.
- W2149149093 hasConceptScore W2149149093C144133560 @default.
- W2149149093 hasConceptScore W2149149093C149782125 @default.
- W2149149093 hasConceptScore W2149149093C162118730 @default.
- W2149149093 hasConceptScore W2149149093C162324750 @default.
- W2149149093 hasConceptScore W2149149093C17744445 @default.
- W2149149093 hasConceptScore W2149149093C178350159 @default.
- W2149149093 hasConceptScore W2149149093C183582576 @default.
- W2149149093 hasConceptScore W2149149093C199539241 @default.
- W2149149093 hasConceptScore W2149149093C199728807 @default.
- W2149149093 hasConceptScore W2149149093C205208723 @default.
- W2149149093 hasConceptScore W2149149093C24308983 @default.
- W2149149093 hasConceptScore W2149149093C2780821815 @default.
- W2149149093 hasConceptScore W2149149093C30589699 @default.
- W2149149093 hasConceptScore W2149149093C44309892 @default.
- W2149149093 hasConceptScore W2149149093C68842666 @default.
- W2149149093 hasConceptScore W2149149093C89997419 @default.
- W2149149093 hasConceptScore W2149149093C90992651 @default.
- W2149149093 hasLocation W21491490931 @default.
- W2149149093 hasOpenAccess W2149149093 @default.
- W2149149093 hasPrimaryLocation W21491490931 @default.
- W2149149093 hasRelatedWork W1481284162 @default.
- W2149149093 hasRelatedWork W153862350 @default.
- W2149149093 hasRelatedWork W1854191977 @default.
- W2149149093 hasRelatedWork W2045187219 @default.
- W2149149093 hasRelatedWork W2087680549 @default.
- W2149149093 hasRelatedWork W2232320817 @default.
- W2149149093 hasRelatedWork W2336150867 @default.
- W2149149093 hasRelatedWork W2345560178 @default.
- W2149149093 hasRelatedWork W2622655389 @default.
- W2149149093 hasRelatedWork W2762207369 @default.
- W2149149093 hasRelatedWork W2969115415 @default.
- W2149149093 hasRelatedWork W299505579 @default.
- W2149149093 hasRelatedWork W3009889639 @default.
- W2149149093 hasRelatedWork W3121446246 @default.
- W2149149093 hasRelatedWork W3121770753 @default.
- W2149149093 hasRelatedWork W3123880050 @default.
- W2149149093 hasRelatedWork W3123915505 @default.
- W2149149093 hasRelatedWork W3123984597 @default.
- W2149149093 hasRelatedWork W3130471276 @default.
- W2149149093 hasRelatedWork W3137817427 @default.
- W2149149093 isParatext "false" @default.
- W2149149093 isRetracted "false" @default.
- W2149149093 magId "2149149093" @default.
- W2149149093 workType "article" @default.