Risikofaktoren und Korrelationen für Bonitätsveränderungen

One of the greatest challenges in modeling credit portfolio risk is the issue of correlations between borrowers.Up to now no consistent methodology for identifying correlations exists. In general two approachesare employed: “direct” and “indirect” modeling. While the former specify correlation parametersthemselves, indirect models assume that correlations between credit qualities or defaults are due toexposures to common risk factors. Given the values of the risk factors borrowers are assumed to be conditionallyindependent. However, the identity of these risk factors is still ambiguous. We present a newdynamic approach which identifies these common factors...