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Document type:
Zeitschriftenaufsatz 
Author(s):
Böcker, K. and Hillebrand, M. 
Title:
Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation 
Abstract:
In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their inter-risk correlation and show how inter-risk correlation bounds can be derived. Moreover, we elaborate how our model naturally leads to a Gaussian copula approach for describing dependence between both risk types. In particular, we su...    »
 
Journal title:
Technical report 
Year:
2008 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text