Consistent assumptions for modeling credit loss correlations

MaRDI QIDQ3566016zbMATH OpenFDO

Authors J. Dhaene, Marc J. Goovaerts, Robert A. Koch, R. Olieslagers, Olivier Romijn, Steven Vanduffel

Publication date 7 June 2010

zbMATH Keywords

comonotonicitydefault correlationeconomic capitalloss correlation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Credit risk (91G40)

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Cited in

(2)

• Forecasting credit losses with the reversal in credit spreads
• On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk

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