Asset or default correlation across industries
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In the context of credit risk reporting we are looking into name concentration (connected subsidiaries of a larger holding, which are active in different industries). Besides qualitative indicators (shared ownership, same people sitting on respective boards etc), one dimension we would be looking for are any quantification of correlation (of default) between industries, to get some level of feeling for if “if subsidiary A is in trouble due to its industry, should we be worried about the others too due to industry correlation?”
The above would be used for indicative default correlations – anyways there would be expert judgement overlaid on top, so what we are looking for are any readily available numbers or similar analyses
For this, we would be looking for any pointers on figures available/ approaches for
- Correlation of default rates across industries
- Something roughly proxying above, e.g. sector equity correlations, EDF correlations
Many thanks in advance!