Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations

Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations

We review recent progress in modeling credit risk for correlated assets. We employ a new interpretation of the Wishart model for random correlation matrices to model non-stationary effects. We then use the Merton model in which default events and losses are derived from the asset values at maturity....

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Bibliographic Details
Main Authors: Andreas Mühlbacher, Thomas Guhr
Format: Article
Language:English
Published: MDPI AG 2018-04-01
Series:Risks
Subjects:
credit risk
financial markets
non-stationarity
random matrices
structural models
Wishart model
Online Access:http://www.mdpi.com/2227-9091/6/2/42

Internet

http://www.mdpi.com/2227-9091/6/2/42

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