Factor models: Portfolio credit risks when defaults are correlated

Journal of Risk Finance

Volumn 3, Issue 1, 2001, Pages 45-56

  Schönbucher, Philipp J ^a  

^a UNIVERSITY OF BONN   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 44249100568     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/eb043482     Document Type: Article

References (10)

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2. Belkin, Barry, Stephan Suchover, and Lawrence Forest. “A One-Parameter Representation of Credit Risk and Transition Matrices." Credit Metrics Monitor, 1(3) (1998), pp. 46-56.
3. “Credit Metrics." JP Morgan & Co. Inc., 1997. www.creditmetrics.com.
4. “Credit Risk+." Credit Suisse FirstBoston, 1997. www.csfb.com/creditrisk.
5. Finger, Christopher C. “Conditional Approaches for Credit Metrics Portfolio Distributions." Credit Metrics Monitor, 2(1) (April 1999), pp. 14-33.
6. Greene, William H. Econometric Analysis, 4th edition. New York: Prentice-Hall, 2000.
7. Lucas, Andre, Pieter Klaassen, Peter Spreij, and Stefan Staetmans. “An Analytic Approach to Credit Risk of Large Corporate Bond and Loan Portfolios.“Journal of Banking and Finance, 25(9) (2001), pp. 1635-1664.
8. McFadden, D. “Econometric Analysis of Qualitative Response Models." In Z. Grilliches and M. Intriligator, eds., Handbook of Econometrics, Volume 2. Amsterdam: North-Holland, 1984.
9. Schonbucher, Philipp J. “Factor Models for Portfolio Credit Risk." Working paper, Department of Statistics, Bonn University, 2000.
10. Vasicek, Oldrich. “Probability of Loss on Loan Portfolio." Working paper, KMV Corporation, 1987.