An Analytical Portfolio Credit Risk Model Based on the Extended Binomial Distribution
نویسندگان
چکیده
منابع مشابه
An Extended Analytical Approach to Credit Risk Management
Among the ‘reduced form models’ for measuring the credit risk of a bank’s portfolio is CreditRisk+, which provides a closed-form solution for calculating the portfolio loss distribution based on an actuarial approach. The limitations of this model are well known, but they are often misinterpreted as being deeply embedded within the model. Dismantling the mathematical components of the model all...
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This paper proposes a new combination of quantitative models and Genetic Algorithms for the task of optimising credit portfolios. Currently, quantitative portfolio credit risk models are used to calculate portfolio risk figures, e. g. expected losses, unexpected losses and risk contributions. Usually, this information is used for optimising the risk-return profile of the portfolio. We show that...
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متن کاملAn Integrated Market and Credit Risk Portfolio Model
We present a multi-step model to measure portfolio credit risk that integrates exposure simulation and portfolio credit risk techniques. Thus, it overcomes the major limitation currently shared by portfolio models with derivatives. Specifically, the model is an improvement over current portfolio credit risk models in three main aspects. First, it defines explicitly the joint evolution of market...
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Portfolio credit derivatives, such as basket credit default swaps (basket CDS), require for their pricing an estimation of the dependence structure of defaults, which is known to exhibit tail dependence as reflected in observed default contagion. A popular model with this property is the (Student’s) t copula; unfortunately there is no fast method to calibrate the degree of freedom parameter. In...
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ژورنال
عنوان ژورنال: Journal of Financial Risk Management
سال: 2019
ISSN: 2167-9533,2167-9541
DOI: 10.4236/jfrm.2019.83012