| Title |
A Random Matrix Approach to Credit Risk
|
|---|---|
| Published in |
PLOS ONE, May 2014
|
| DOI | 10.1371/journal.pone.0098030 |
| Pubmed ID | |
| Authors |
Michael C. Münnix, Rudi Schäfer, Thomas Guhr |
| Abstract |
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 randomly fluctuating correlations, a lower bound for the estimation of the loss distribution is provided. |
X Demographics
The data shown below were collected from the profiles of 2 X users who shared this research output. Click here to find out more about how the information was compiled.
Geographical breakdown
| Country | Count | As % |
|---|---|---|
| Unknown | 2 | 100% |
Demographic breakdown
| Type | Count | As % |
|---|---|---|
| Scientists | 1 | 50% |
| Members of the public | 1 | 50% |
Mendeley readers
The data shown below were compiled from readership statistics for 27 Mendeley readers of this research output. Click here to see the associated Mendeley record.
Geographical breakdown
| Country | Count | As % |
|---|---|---|
| United States | 1 | 4% |
| China | 1 | 4% |
| Germany | 1 | 4% |
| Unknown | 24 | 89% |
Demographic breakdown
| Readers by professional status | Count | As % |
|---|---|---|
| Researcher | 6 | 22% |
| Student > Master | 5 | 19% |
| Other | 3 | 11% |
| Student > Ph. D. Student | 3 | 11% |
| Student > Doctoral Student | 2 | 7% |
| Other | 3 | 11% |
| Unknown | 5 | 19% |
| Readers by discipline | Count | As % |
|---|---|---|
| Physics and Astronomy | 9 | 33% |
| Business, Management and Accounting | 4 | 15% |
| Mathematics | 3 | 11% |
| Computer Science | 2 | 7% |
| Unspecified | 1 | 4% |
| Other | 3 | 11% |
| Unknown | 5 | 19% |