OCC says credit-risk models should contain "unobservable" factor
The US Office of the Comptroller of the Currency used data on credit default swaps to examine the correlation in credit risk and published its findings in a working paper. "This finding suggests that contagion is not only statistically but also economically significant in causing correlation in credit risk. Thus, it is important to incorporate an unobservable risk factor into credit-risk models in future research," the authors said.
Structured Credit Investor (U.K.) | 30 Oct.
This story published in SIFMA Global SmartBrief on 11/03/2009
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