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Modelling Default Rate Dynamics in the CreditRisk+ Framework

Boegelein, Leif ; Hamerle, Alfred ; Rauhmeier, Robert ; Scheule, Harald


Abstract

When using conditional independence frameworks such as CreditRisk+, identifying multiple sectors that embody systematic factors can be a challenge. Leif Boegelein, Alfred Hamarle, Robert Rauhmeier and Harald Scheule show how the technique of seemingly unrelated regressions can be used for sector analysis, when applied to very large SME (small and medium-size enterprise) portfolios.


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