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Dimensions of Credit Risk

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Exploratory Data Analysis in Empirical Research

Abstract

To understand the contribution of various risk factors to the overall riskiness of credit-risky portfolios is one of the most challenging tasks in contemporary finance. Recently, the importance of this issue has been highlighted by the decision of the Basel committee to allow sophisticated banks to use their own internal credit portfolio risk. In this note we use ‘default-mode’ credit portfolio risk models to study the importance of the factors correlation and granularity for the overall risk of credit risky portfolios.

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Author information

Authors and Affiliations

  1. Department of Statistics, London School of Economics, London, WC2A 2AE, England

    R. Kiesel

  2. Abteilung für Zahlen- und Wahrscheinlichkeitstheorie, Universität Ulm, D-89069, Ulm

    U. Stadtmüller

Authors
  1. R. Kiesel
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  2. U. Stadtmüller
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Editor information

Editors and Affiliations

  1. Munich School of Management Institute of Corporate Development and Organization, University of Munich, Kaulbachstraße 45/1, 80539, Munich, Germany

    Manfred Schwaiger

  2. Department of Mathematical Methods in Economics, University of Augsburg, Universitätsstraße 16, 86159, Augsburg, Germany

    Otto Opitz

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© 2003 Springer-Verlag Berlin Heidelberg

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Kiesel, R., Stadtmüller, U. (2003). Dimensions of Credit Risk. In: Schwaiger, M., Opitz, O. (eds) Exploratory Data Analysis in Empirical Research. Studies in Classification, Data Analysis, and Knowledge Organization. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-55721-7_47

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  • DOI: https://doi.org/10.1007/978-3-642-55721-7_47

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-44183-0

  • Online ISBN: 978-3-642-55721-7

  • eBook Packages: Springer Book Archive

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