Skip to main content

Lund University Publications

LUND UNIVERSITY LIBRARIES

An alternative way of estimating asset values and asset value correlations

Byström, Hans LU (2011) In Journal of Fixed Income 21(2). p.30-38
Abstract
Abstract in Undetermined
We suggest a new way of modeling the dynamics of a firm’s asset value and discuss how it could be useful in the computation of asset value correlations in multivariate credit risk models. The method relies on credit spreads from the credit default swap market and by combining these spreads with stock prices and leverage ratios we show how one can construct a proxy for the asset value. This proxy is then used to calculate asset value correlations among a group of major European banks selected from the stress test conducted by the Committee of European Banking Supervisors (CEBS) in 2010. The asset correlations are presented as a function of the banks’ size, default risk and geographic location.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
asset correlation, asset value, credit default swap, stress test, banks
in
Journal of Fixed Income
volume
21
issue
2
pages
30 - 38
publisher
Portfolio Management Research
external identifiers
  • scopus:80053478414
ISSN
1059-8596
DOI
10.3905/jfi.2011.21.2.030
language
English
LU publication?
yes
id
8d75f39c-e5f2-4e16-a086-028125350ab7 (old id 2275942)
date added to LUP
2016-04-01 14:47:46
date last changed
2021-03-29 18:50:07
@article{8d75f39c-e5f2-4e16-a086-028125350ab7,
  abstract     = {Abstract in Undetermined<br/>We suggest a new way of modeling the dynamics of a firm’s asset value and discuss how it could be useful in the computation of asset value correlations in multivariate credit risk models. The method relies on credit spreads from the credit default swap market and by combining these spreads with stock prices and leverage ratios we show how one can construct a proxy for the asset value. This proxy is then used to calculate asset value correlations among a group of major European banks selected from the stress test conducted by the Committee of European Banking Supervisors (CEBS) in 2010. The asset correlations are presented as a function of the banks’ size, default risk and geographic location.},
  author       = {Byström, Hans},
  issn         = {1059-8596},
  language     = {eng},
  number       = {2},
  pages        = {30--38},
  publisher    = {Portfolio Management Research},
  series       = {Journal of Fixed Income},
  title        = {An alternative way of estimating asset values and asset value correlations},
  url          = {http://dx.doi.org/10.3905/jfi.2011.21.2.030},
  doi          = {10.3905/jfi.2011.21.2.030},
  volume       = {21},
  year         = {2011},
}