Default Probabilities and Default Correlations

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other loans.

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Year of publication:	2001-12-03
Authors:	Erlenmaier, Ulrich ; Gersbach, Hans
Publisher:	DB Research GmbH <Frankfurt, Main>
Subject:	Kreditmanagement \| Ausfallrisiko \| Risikomanagement \| risk management \| Kreditrisiko \| Bewertung \| Portfoliomanagement \| portfolio management \| Anleihe \| Korrelationsanalyse

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Extent:	567296 bytes 46 p. application/pdf
Series:	DB Research - Publikationen
Type of publication:	Book / Working Paper
Language:	English
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G21 - Banks; Other Depository Institutions; Mortgages ; G31 - Capital Budgeting; Investment Policy ; Financial theory ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005843735