Lars Ronnegard

Dalarna University

SE-788 81 Borlange

Sweden

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Scholarly Papers (1)

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Is Firm Interdependence Within Industries Important for Portfolio Credit Risk?

Sveriges Riksbank Working Paper No. 168, Riksbank Research Paper Series No. 11
Number of pages: 33 Posted: 14 Sep 2004
Kenneth Carling, Lars Ronnegard and Kasper Roszbach
Uppsala University, Dalarna University and Norges Bank - Research Department
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Abstract:

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Value-at-risk, credit risk, portfolio credit risk, duration model, default correlation, industry dependency, cluster errors