A random matrix approach to credit risk.
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ABSTRACT:
SUBMITTER: Munnix MC
PROVIDER: S-EPMC4031172 | biostudies-literature | 2014
REPOSITORIES: biostudies-literature
Publications
A random matrix approach to credit risk.
Münnix Michael C MC Schäfer Rudi R Guhr Thomas T
PloS one 20140522 5
We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations severely limits the effect of diversification in a credit portfolio if the correlations are not identically zero. The existence of correlations alters the tails of the loss distribution considerably, even if their average is zero. Under the assumption of rando ...[more]
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