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Empirical estimation of default and asset correlation of large corporates and banks in India
Bandyopadhyay, Arindam; Ganguly, Sonali - Volkswirtschaftliche Fakultät, … - 2011
estimate default correlation in the credit portfolio of banks. These correlation estimates will help the regulator in India to …Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. This … would require studying the risk profile of the banks’ entire credit portfolio and developing the appropriate methodology for …
Persistent link: https://www.econbiz.de/10009283794
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Forecasting Credit Portfolio Risk
Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - 2004
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10010295888
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10010295906
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Forecasting Credit Portfolio Risk
Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - Deutsche Bundesbank - 2004
The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...
Persistent link: https://www.econbiz.de/10005082801
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Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - Deutsche Bundesbank - 2005
In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...
Persistent link: https://www.econbiz.de/10005082814
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - Wirtschaftswissenschaftliche Fakultät, Universität … - 2005
Im vorliegenden Beitrag wird untersucht, wie die Assetkorrelation zwischen zwei Sektoren auf einfache Weise berechnet werden kann und wie sich unterschiedliche Korrelationsannahmen auf die Form und Risikomaße von Verlustverteilungen auswirken. Dazu werden Ausfallzeitreihen von zwei...
Persistent link: https://www.econbiz.de/10005607533
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Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014431441
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Application of vine copulas to credit portfolio risk modeling
Geidosch, Marco; Fischer, Matthias - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-15
In this paper, we demonstrate the superiority of vine copulas over conventional copulas when modeling the dependence structure of a credit portfolio. We show statistical and economic implications of replacing conventional copulas by vine copulas for a subportfolio of the Euro Stoxx 50 and the...
Persistent link: https://www.econbiz.de/10011544001
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Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander - 2023
Persistent link: https://www.econbiz.de/10014518798
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Macroeconomic Dynamics and Credit Risk: A Global Perspective
Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - 2003
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
Persistent link: https://www.econbiz.de/10010315714