Search Results - subject:"Portfolio credit risk"

Stochastic loss given default and exposure at default in a structural model of portfolio credit risk

Kaposty, Florian; Löderbusch, Matthias; Maciag, Jakob - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 95-123

Persistent link: https://www.econbiz.de/10011670772

Portfolio credit risk model with extremal dependence of defaults and random recovery

Jeon, Jong-June; Kim, Sunggon; Lee, Yonghee - In: The journal of credit risk : published quarterly by … 13 (2017) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10011777675

A hierarchical Archimedean copula for portfolio credit risk modelling

Puzanova, Natalia - 2011

portfolio credit risk within the structural framework. To allow for a stronger dependence within sub-portfolios than between …

Persistent link: https://www.econbiz.de/10010307249

A hierarchical model of tail dependent asset returns for assessing portfolio credit risk

Puzanova, Natalia - 2011

This paper introduces a multivariate pure-jump Lévy process which allows for skewness and excess kurtosis of single asset returns and for asymptotic tail dependence in the multivariate setting. It is termed Variance Compound Gamma (VCG). The novelty of my approach is that, by applying a...

Persistent link: https://www.econbiz.de/10010308734

Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with Common Shocks)

Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - Nationalekonomiska institutionen, Handelshögskolan - 2011

We consider a bottom-up Markovian copula model of portfolio credit risk where dependence among credit names mainly …

Persistent link: https://www.econbiz.de/10011019100

A hierarchical model of tail dependent asset returns for assessing portfolio credit risk

Puzanova, Natalia - Deutsche Bundesbank - 2011

Persistent link: https://www.econbiz.de/10010954914

A hierarchical Archimedean copula for portfolio credit risk modelling

Puzanova, Natalia - Deutsche Bundesbank - 2011

portfolio credit risk within the structural framework. To allow for a stronger dependence within sub-portfolios than between …

Persistent link: https://www.econbiz.de/10009372144

Portfolio credit risk of default and spread widening

Zhao, Hongbiao - London School of Economics (LSE) - 2011

This paper introduces a new model for portfolio credit risk incorporating default and spread widening in a simple and …. This model is applicable to portfolio credit risk management, stress test, or to fit into regulatory capital requirements …

Persistent link: https://www.econbiz.de/10010745286

Dynamic hedging of portfolio credit derivatives

Cont, Rama; Kan, Yu Hang - HAL - 2011

which shows the insufficiency of some recently proposed portfolio credit risk models. …

Persistent link: https://www.econbiz.de/10008873568

Trading book and credit risk : how fundamental is the Basel review?

Laurent, Jean-Paul; Sestier, Michael; Thomas, Stéphane - In: Journal of banking & finance 73 (2016), pp. 211-223

Persistent link: https://www.econbiz.de/10011635717

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