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The credit risk\(^{+}\) model with general sector correlations. (English) Zbl 1204.91134
Summary: We consider an enhancement of the credit risk\(^{+}\) model to incorporate correlations between sectors. We model the sector default rates as linear combinations of a common set of independent variables that represent macro-economic variables or risk factors. We also derive the formula for exact VaR contributions at the obligor level.

91G40 Credit risk
62P05 Applications of statistics to actuarial sciences and financial mathematics
Full Text: DOI
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