Estimation of Sector Weights from Real-World Data

  • Michael Lesko
  • Frank Schlottmann
  • Stephan Vorgrimler
Part of the Springer Finance book series (FINANCE)

Summary

We discuss four different approaches to the estimation of sector weights for the CreditRisk+ model from German real-world data. Using a sample loan portfolio, we compare these approaches in terms of the resulting unexpected loss risk figures.

Keywords

Covariance Transportation Volatility Vanilla 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  • Michael Lesko
  • Frank Schlottmann
  • Stephan Vorgrimler

There are no affiliations available

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