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Quantifying the impact of different copulas in a generalized CreditRisk+framework An empirical study

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EN
Abstrakty
EN
Without any doubt, credit risk is one of the most important risk types in the classical banking industry. Consequently, banks are required by supervisory audits to allocate economic capital to cover unexpected future credit losses. Typically, the amount of economical capital is determined with a credit portfolio model, e.g. using the popular CreditRisk+ framework (1997) or one of its recent generalizations (e.g. [8] or [15]). Relying on specific distributional assumptions, the credit loss distribution of the CreditRisk+ class can be determined analytically and in real time. With respect to the current regulatory requirements (see, e.g. [4, p. 9-16] or [2]), banks are also required to quantify how sensitive their models (and the resulting risk figures) are if fundamental assumptions are modified. Against this background, we focus on the impact of different dependence structures (between the counterparties of the bank’s portfolio) within a (generalized) CreditRisk+ framework which can be represented in terms of copulas. Concretely, we present some results on the unknown (implicit) copula of generalized CreditRisk+ models and quantify the effect of the choice of the copula (between economic sectors) on the risk figures for a hypothetical loan portfolio and a variety of parametric copulas.
Wydawca
Czasopismo
Rocznik
Tom
2
Numer
1
Opis fizyczny
Daty
otrzymano
2013-11-04
zaakceptowano
2014-01-23
online
2014-03-10
Twórcy
autor
Bibliografia
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  • [8] Fischer, M. and Dietz, C. (2011/12). Modeling sector correlations with CreditRisk+: The common background vector model.The Journal of Credit Risk, 7:23-43.
  • [9] Fischer, M. and Dörflinger, M. (2010). A note on a non-parametric tail dependence estimator. Far East J. Theor. Stat., 32:1-5.
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  • [16] Hering, C., Hofert, M., Mai, J., and Scherer, M. (2010). Constructing hierarchical Archimedean copulas with Lévy subordinators.J. Multivariate Anal., 101(6):1428-1433.
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  • [29] Okhrin, O. and Ristig, A. (2012). Hierarchical Archimedean Copulae: The HAC Package. Humbold Universität Berlin. URL:http://cran.r-project.org/web/ packages/HAC/index.html.
  • [30] Okhrin, O., Okhrin, Y., and Schmid, W. (2013). Properties of hierarchical Archimedean copulas. Statistics & Risk Modeling,30:21-54.
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_2478_demo-2014-0001
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