A copula-based approach to portfolio credit risk modeling

Considering correlations between entries of credit portfolio is an important objective when estimating credit risk. This paper aims to construct a multivariate model of credit losses examining a portfolio composed of loans to a set of kinds of business. The paper also introduces the method of credit risk calculation via copulas, gamma distribution and kernel estimates. Empirical application of the introduced method is realized by using a historical loss data provided by one of the Moscow credit banks.

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Year of publication:	2013
Authors:	Bologov, Bologov , Yaroslav
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 29.2013, 1, p. 45-66
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	credit risk \| credit bank \| multivariate modeling \| copula \| extreme value theory \| kernel smoothing

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Extent:	application/pdf
Type of publication:	Article
Classification:	G17 - Financial Forecasting ; G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010841041