This thesis aims to propose a reasonable set of risk factors which are to be used in a portfolio credit risk model. It shows how these risk factors can be incorporated in the modeling procedure and provides different calibration methodologies. The model can be viewed as a multivariate generalization of Merton?s structural approach and allows the consideration of joint credit-risk drivers. A first indication of a set of these risk factors is given by an analysis of the existing literature, where firm?s credit quality is linked to macroeconomic and idiosyncratic credit drivers. Furthermore, several regression models are used to examine the impact of potential risk factors on different approximations for the firm?s credit quality. In addition to stock returns and CDS spreads, the so-called creditworthiness index is used as an indicator for the firm?s financial standing. This analysis is carried out on three sample portfolios representing the geographic regions US, Europe, and Asia/Pacific. Different calibration methodologies for the presented credit risk model are proposed and demonstrated on a sample portfolio.     «

This thesis aims to propose a reasonable set of risk factors which are to be used in a portfolio credit risk model. It shows how these risk factors can be incorporated in the modeling procedure and provides different calibration methodologies. The model can be viewed as a multivariate generalization of Merton?s structural approach and allows the consideration of joint credit-risk drivers. A first indication of a set of these risk factors is given by an analysis of the existing literature, where...     »