Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In … correlated defaults primarily impact the CDS prices of firms with an overall low CDS level. (III) Idiosyncratic risk factors for …

Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We … provided new credit risk management tools. However, in the addressed market segment adverse selection and moral hazard problems … risk of middle market commercial loan portfolios depends on the development of incentive-compatible structures which solve …