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Model and estimation risk in credit risk stress tests

Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019

This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...

Persistent link: https://www.econbiz.de/10011981523

Modeling severity risk under PD-LGD correlation

Han, Chulwoo - In: The European journal of finance 23 (2017) 13/15, pp. 1572-1588

Persistent link: https://www.econbiz.de/10012014695

Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge

Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105

Persistent link: https://www.econbiz.de/10012174432

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

Long-term project valuation in capital-constrained firms

Shimko, David C. - In: Finance : revue de l'Association Française de Finance 40 (2019) 3, pp. 121-139

Persistent link: https://www.econbiz.de/10012154181

Risk management of stock portfolios with jumps at exogenous default events

Herbertsson, Alexander - 2023

Persistent link: https://www.econbiz.de/10014431441

Economic capital and RAROC in a dynamic model

Bauer, Daniel; Zanjani, George - In: Journal of banking & finance 125 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012819680

Adverse risk interaction : an integrated approach

Božović, Miloš; Ivanović, Jelena - In: Economic modelling 65 (2017), pp. 67-74

Persistent link: https://www.econbiz.de/10011813551

External risk measures and Basel accords

Kou, Steven; Peng, Xianhua; Heyde, Chris C. - In: Mathematics of operations research 38 (2013) 3, pp. 393-417

Persistent link: https://www.econbiz.de/10009787381

Stress testing credtit risk portfolios

Jacobs, Michael <Jr.> - In: Journal / The Capco Institute : journal of financial … 37 (2013), pp. 53-75

Persistent link: https://www.econbiz.de/10010341034

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