Güttler, Andre; Raupach, Peter - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
’ on credit portfolio risk. Using S&P ratings from 1996to 2005, we estimate a transition matrix that is insensitive to and … portfolioValue-at-Risk (VaR) and the momentum-sensitive VaR. We find realistic scenarios whereinvestors who rely on insensitive … transition matrices underestimate the VaR by eight percentof the correct value. The result is relevant for risk managers and …