8. The Credit Risk of Portfolios and Correlations

  1. Anthony Saunders and
  2. Linda Allen

Published Online: 6 DEC 2011

DOI: 10.1002/9781118267981.ch8

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

How to Cite

Saunders, A. and Allen, L. (2010) The Credit Risk of Portfolios and Correlations, in Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118267981.ch8

Publication History

  1. Published Online: 6 DEC 2011
  2. Published Print: 19 APR 2010

ISBN Information

Print ISBN: 9780470478349

Online ISBN: 9781118267981

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Keywords:

  • credit risk;
  • modern portfolio theory;
  • financial institutions;
  • investor's risk exposure;
  • sharpe ratio

Summary

This chapter contains sections titled:

  • Introduction

  • Modern Portfolio Theory (MPT): An Overview

  • Applying MPT to Nontraded Bonds and Loans

  • Estimating Correlations across Nontraded Assets

  • Moody's KMV's Portfolio Manager

  • Kamakura and Other Reduced Form Models

  • Summary