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A model-based assessment of credit risk is subject to both specification and calibration errors. Focusing on a well known credit risk model, we propose a methodology for quantifying the relative importance of alternative sources of such errors and apply this methodology to a large data set. We...
Persistent link: https://www.econbiz.de/10013092065
This paper develops an empirical procedure for analyzing the impact of model misspecification and calibration errors on measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure reveals that violations of key assumptions of the...
Persistent link: https://www.econbiz.de/10014224225
A model-based assessment of credit risk is subject to both specification and calibration errors. Focusing on a well known credit risk model, we propose a methodology for quantifying the relative importance of alternative sources of such errors and apply this methodology to a large data set. We...
Persistent link: https://www.econbiz.de/10013094771
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...
Persistent link: https://www.econbiz.de/10013128339
This paper investigates the link between economic state and investment levels in an economy within the premise of a partial equilibrium econometric setup based on the central philosophies of production-based asset pricing model and economic tracking portfolio models. By employing a simple linear...
Persistent link: https://www.econbiz.de/10013134628
This paper considers a paradigm financial markets trades booking and valuation, data subscription and portfolio revaluation system. Traded instruments covered include: spot and forward exchange rates (FX); credit default swaps (CDS); total return swaps (TRS); commodity and bond futures; traded...
Persistent link: https://www.econbiz.de/10013098037
Using an extended version of the credit risk model CreditRisk, we develop a flexible framework with numerous applications amongst which we find stochastic mortality modelling, forecasting of death causes as well as profit and loss modelling of life insurance and annuity portfolios which can be...
Persistent link: https://www.econbiz.de/10013001147
Traditional mean variance optimization assumes that future returns and covariances of all the assets in the universe are known exactly. In practice, these input parameters are subject to estimation errors that may render the output of the optimization algorithm essentially useless. Here we...
Persistent link: https://www.econbiz.de/10013157196
Persistent link: https://www.econbiz.de/10013050012