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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 (Swedish)
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.
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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
institutional investor journal
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
2012-01-09 11:08:45
date last changed
2017-01-01 06:26:25
@article{8d75f39c-e5f2-4e16-a086-028125350ab7,
  abstract     = {<b>Abstract in Undetermined</b><br/><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},
  keyword      = {asset correlation,asset value,credit default swap,stress test,banks},
  language     = {eng},
  number       = {2},
  pages        = {30--38},
  publisher    = {institutional investor journal},
  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},
  volume       = {21},
  year         = {2011},
}