Granularity adjustment for default risk factor model with cohorts

Journal of Banking and Finance

Volumn 36, Issue 5, 2012, Pages 1464-1477

  Gourieroux, C ^a,b   Jasiak, J ^c  

^a UNIVERSITY OF TORONTO   (Canada)

^b CREST   (France)

^c YORK UNIVERSITY   (Canada)

Author keywords

Factor model; Granularity adjustment; Idiosyncratic risk; Systematic risk

Indexed keywords

EID: 84858284581     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.12.013     Document Type: Article

References (29)

1. Anderson T. An Introduction to Multivariate Statistical Analysis 2003, Wiley, New York.
2. Basel Committee on Banking Supervision, 2001. The new Basel capital accords. Second consultative paper, Bank of International Settlements, January.
3. Basel Committee on Banking Supervision Basel II, 2006. International convergence of capital measurement and capital standards: a revised framework. Publication 128, June.
4. Feng C., Gourieroux C., Jasiak J. The ordered qualitative model for credit rating transitions. Journal of Empirical Finance 2008, 15:111-130.
5. Frey R., McNeil A. Dependent defaults in models of portfolio credit risk. Journal of Risk 2003, 6:59-92.
6. Frye J. Depressing recoveries. Risk 2000, 13:108-111.
7. Gagliardini P., Gourieroux C. Migration correlation: definition and consistent estimation. Journal of Banking and Finance 2005, 29:865-894.
8. Gagliardini P., Gourieroux C. Stochastic migration models with application to corporate risk. Journal of Financial Econometrics 2005, 3:188-226.
9. Gagliardini, P., Gourieroux C., 2009. Efficiency in large dynamic panel models with common factors. CREST, Working Paper.
10. Gagliardini, P., Gourieroux C., 2010. Granularity adjustment in dynamic multiple factor models: systematic versus unsystematic risks. CREST Working Paper.
11. Gagliardini P., Gourieroux C., Monfort A. Micro-information, nonlinear filtering and granularity. Journal of Financial Econometrics 2012, 10:1-53.
12. Gordy M. A risk-factor model foundation for rating-based capital rules. Journal of Financial Intermediation 2003, 12:199-232.
13. Gordy M. Granularity adjustment in portfolio risk management. Risk Measures for the 21th Century 2004, Wiley, New York. G. Szego (Ed.).
14. Gordy, M., Luetkebohmert, E., 2007. Granularity adjustment for Basel II. Deutsche Bank, Discussion Paper 01/2007.
15. Gourieroux C., Monfort A. Granularity adjustment in linear factor models. Journal of Credit Risk 2009, 5:1-34.
16. Gupton, G., Finger, C., Bhatia M., 1997. CreditMetrics. Technical Report, The RiskMetrics Group.
17. Jennrich R., Thayer D. A note on Lawley's formulas for standard errors in maximum likelihood factor analysis. Psychometrika 1977, 38:571-580.
18. Jensen J. Saddlepoint Approximation 1995, Clarendon Press, Oxford.
19. Lawley D., Maxwell A. Factor Analysis as a Statistical Method 1971, Elsevier, New-York.
20. Martin R., Wilde T. Unsystematic credit risk. Risk Magazine 2002, 15:123-128.
21. McNeil A., Wendin J. Bayesian inference for generalized linear mixed models of portfolio credit risk. Journal of Empirical Finance 2007, 14:131-149.
22. Merton R. On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 1974, 29:449-470.
23. Schonbucher P. Factor models, portfolio credit risk when defaults are correlated. The Journal of Risk Finance 2001, 3:45-56.
24. Schonbucher P. Credit Derivatives Pricing Models 2003, Wiley, New York.
25. Standard and Poor's, 2006. Annual 2005 corporate default study and rating transitions. Global Fixed Income Research, January.
26. Tarashev N., Zhu H. Specification and calibration errors in measures of portfolio credit risk: the case of the ASRF model. International Journal of Central Banking 2008, 4:129-173.
27. Tasche D. Measuring sectoral diversification in an asymptotic multi-factor framework. Journal of Credit Risk 2006, 2:33-55.
28. Vasicek, O., 1991. Limiting loan loss probability distribution. KMV Corporation, Discussion Paper.
29. Wilde T. Probing granularity. Risk Magazine 2001, 14:103-106.