Correlation in Credit Risk. Economics Working Paper 2009-5

机译：信用风险的相关性。经济学工作论文2009-5

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Correlation in credit risk is a well-known phenomenon. Understanding the causes of correlated credit losses is crucial for many purposes, such as managing a portfolio, setting capital requirements for banks, and pricing structured credit products that are heavily exposed to correlations in credit risk; for example, collateralized debt obligations (CDO). This issue has become particularly important because of the rapid growth of structured credit products in the financial markets in recent years. But despite much research on the subject, we do not understand many aspects of correlation in credit risk; this paper attempts to move the literature forward.

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作者
Pu, X.; Zhao, X.;
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年度 2010
页码 1-41
总页数 41
原文格式 PDF
正文语种 eng
中图分类工业技术;
关键词
Correlations ; Credit ; Risk ; Default debtors ; Market ; Losses ; Capital ; Banks ; Macroeconomic conditions ; Financial services;

机译：相关性;信用;风险;违约债务人;市场;损失;资本;银行;宏观经济条件;金融服务;

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Correlation in Credit Risk. Economics Working Paper 2009-5

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