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Risikofaktoren und Korrelationen für Bonitätsveränderungen

Author

Listed:
  • Alfred Hamerle

    (Universität Regensburg)

  • Daniel Rösch

    (Universität Regensburg)

Abstract

Summary One of the greatest challenges in modeling credit portfolio risk is the issue of correlations between borrowers. Up to now no consistent methodology for identifying correlations exists. In general two approaches are employed: “direct” and “indirect” modeling. While the former specify correlation parameters themselves, indirect models assume that correlations between credit qualities or defaults are due to exposures to common risk factors. Given the values of the risk factors borrowers are assumed to be conditionally independent. However, the identity of these risk factors is still ambiguous. We present a new dynamic approach which identifies these common factors and tests the assumption of conditional independence. Our empirical study supports this assumption. This considerably facilitates Value-at-Risk analyses. Furthermore the results indicate that a dynamic modeling of credit risk should be favored against the prevalent static setting.

Suggested Citation

  • Alfred Hamerle & Daniel Rösch, 2003. "Risikofaktoren und Korrelationen für Bonitätsveränderungen," Schmalenbach Journal of Business Research, Springer, vol. 55(3), pages 199-223, May.
    • Handle: RePEc:spr:sjobre:v:55:y:2003:i:3:d:10.1007_bf03372704
    DOI: 10.1007/BF03372704
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    References listed on IDEAS

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    More about this item

    Keywords

    C23; G21; G28;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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