Narrow search
Showing 1 - 3 of 3
Cover Image
Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio
Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23
This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...
Persistent link: https://www.econbiz.de/10012309082
Cover Image
Advanced approaches for measuring total banking capital
Clemente, Annalisa Di - In: BANCARIA 02 (2010) February
A comparative analysis of the advanced methodologies used by the banking industry for measuring the total economic capital underlines the superiority of the top-down technique based on Monte Carlo simulation and Gaussian copula.This model is particularly suited to consider the empirical...
Persistent link: https://www.econbiz.de/10008479016
Cover Image
Modeling portfolio credit risk taking into account the default correlations using a copula approach: Implementation to an Italian loan portfolio
Di Clemente, Annalisa - In: Journal of Risk and Financial Management 13 (2020) 6, pp. 1-23
This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...
Persistent link: https://www.econbiz.de/10012611358