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Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?
Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015
), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …
Persistent link: https://www.econbiz.de/10011419593
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The multivariate option iPoD framework : assessing systemic financial risk
Matros, Philipp; Vilsmeier, Johannes - 2014
by combining the entropy approach, dynamic copulas and rank correlations. Our density estimates yield information about …
Persistent link: https://www.econbiz.de/10010405480
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A Copula and Extreme-Value Based Methodology for Estimating the Required Economic Capital in a Retail-Credit Portfolio
Hernandez, Adan Diaz; Sanchez, Jose Carlos Ramirez - 2010
it makes use of elliptical generalized or grouped t Student copulas to model the dependence structure of risk …
Persistent link: https://www.econbiz.de/10014188177
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Estimating portfolio credit losses in downturns
Moreira, Fernando - In: Financial markets, institutions & instruments 24 (2015) 5, pp. 391-414
Persistent link: https://www.econbiz.de/10011412170
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On the dependence between default risk and recovery rates in structural models
Fermanian, Jean-David - In: Annals of economics and statistics 140 (2020), pp. 45-82
Persistent link: https://www.econbiz.de/10012602600
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The impact of counterparty risk on the basis risk of industry loss warranties and on (collateralized) reinsurance under (non-)linear dependence structures
Bockius, Heike; Gatzert, Nadine - In: The journal of risk finance : JRF 23 (2022) 3, pp. 245-263
Persistent link: https://www.econbiz.de/10013370544
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Misspecified Copulas in Credit Risk Models : How Good is Gaussian?
Hamerle, Alfred - 2013
copulas has been proposed in the area of credit risk for modeling loss distributions, particularly T copulas which lead to …
Persistent link: https://www.econbiz.de/10013073615
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CDO Pricing with Copulae
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
Modeling the portfolio credit risk is one of the crucial issues of the last yearsin the financial problems. We propose the valuation model of Collateralized DebtObligations based on a one- and two-parameter copula and default intensities estimatedfrom market data. The presented method is used to...
Persistent link: https://www.econbiz.de/10005865449
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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10003871765
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Dependence in Credit Default Swap and Equity Markets : Dynamic Copula with Markov-Switching
Fei, Fei - 2017
Theoretical credit risk models a la Merton (1974) predict a non-linear negative link between a firm's default likelihood and asset value. This motivates us to propose a flexible empirical Markov-switching bivariate copula that allows for distinct time-varying dependence between credit default...
Persistent link: https://www.econbiz.de/10012974905