Estimating Credit Contagion in a Standard Factor Model

Risk, Vol. 21, No. 8, August 2008, pp. 78-82

Asia Risk, October 2008, pp. 74-79

12 Pages Posted: 10 Nov 2013 Last revised: 13 Nov 2013

See all articles by Daniel Roesch

Daniel Roesch

University of Regensburg

Birker Winterfeldt

University of Regensburg

Date Written: July 30, 2008

Abstract

State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis & Lo (2001), among others. However, statistical estimation techniques and empirical evidence on contagion are still scarce. Daniel Rösch and Birker Winterfeldt provide a simple credit risk Portfolio model extension to credit contagion and show how its parameters can be easily estimated and tested.

Keywords: Credit Risk Models, Credit Contagion

JEL Classification: G20, G28, C51

Suggested Citation

Roesch, Daniel and Winterfeldt, Birker, Estimating Credit Contagion in a Standard Factor Model (July 30, 2008). Risk, Vol. 21, No. 8, August 2008, pp. 78-82, Asia Risk, October 2008, pp. 74-79, Available at SSRN: https://ssrn.com/abstract=2349302

Daniel Roesch (Contact Author)

University of Regensburg ( email )

Chair of Statistics and Risk Management
Faculty of Business, Economics and BIS
Regensburg, 93040
Germany

HOME PAGE: http://www-risk.ur.de/

Birker Winterfeldt

University of Regensburg ( email )

93040 Regensburg
D-93040 Regensburg, 93053
Germany

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