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conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …
Persistent link: https://www.econbiz.de/10009531437
As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit default swap spread returns to the concept of 4CoVaR suggested...
Persistent link: https://www.econbiz.de/10010354176
The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...
Persistent link: https://www.econbiz.de/10012966229
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In this paper we propose the GHADA risk management model that is based on the generalized hyperbolic (GH) distribution and on a nonparametric adaptive methodology. Compared to the normal distribution, the GH distribution possesses semi-heavy tails and represents the financial risk factors more...
Persistent link: https://www.econbiz.de/10003035074
Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...
Persistent link: https://www.econbiz.de/10012966281
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. They are closely related to the dependency structure of portfolio assets or risk factors. The correlation structure across … position. Correlation alone is not informative on the distributional details of the assets. By introducing TEDAS -Tail Event … active risk factors, an adjustment for intertemporal correlation is made. Finally, the asset allocation weights are …
Persistent link: https://www.econbiz.de/10010365113
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