Estimating Credit Contagion in a Standard Factor Model
Year: 2008
Type: preprint
Abstract: State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis & Lo (2001), among others. However, statistical estimation techniques and empirical evidence on contagion are still scarce. Daniel Rosch and Birker Winterfeldt provide a simple credit risk Portfolio model extension to credit contagion and show how its parameters can be easily estimated and tested.
Source: SSRN Electronic Journal
Authors: Daniel Rösch, Birker Winterfeldt
Institutions: Leibniz University Hannover, University of Regensburg
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1484946890