A factor-model approach for correlation scenarios and correlation stress-testing


A factor-model is developed for parameterising correlation matrices of financial portfolios. The factor-model structure allows to understand various drivers of correlation amongst portfolio constituents. The approach can be... [ view full abstract ]


  1. Natalie Packham (Berlin School of Economics and Law)
  2. Fabian Woebbeking (Goethe University Frankfurt)

Topic Areas

Credit Risk , Hedging , Risk Management


FR-A-DA » Credit Risk 3 (10:00 - Friday, 20th July, Davis)

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