NDLI: The credit risk+ model with general sector correlations

Content Provider	Springer Nature Link
Author	Deshpande, Amogh Iyer, Srikanth K.
Copyright Year	2009
Abstract	We consider an enhancement of the credit risk+ model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.
Starting Page	219
Ending Page	228
Page Count	10
File Format	PDF
ISSN	1435246X
Journal	Central European Journal of Operations Research
Volume Number	17
Issue Number	2
e-ISSN	16139178
Language	English
Publisher	Springer-Verlag
Publisher Date	2009-03-06
Publisher Place	Berlin, Heidelberg
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Credit risk+ Compound gamma distribution Value at risk Risk contribution Correlation Portfolio loss distribution Moment generating function Operations Research/Decision Theory
Content Type	Text
Resource Type	Article
Subject	Management Science and Operations Research

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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The credit risk+ model with general sector correlations