Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

credit risk sign in to follow this
stress test sign in to follow this
default sign in to follow this
credit spreads sign in to follow this
copula sign in to follow this
IRC sign in to follow this
Categories:

VaR Uses sign in to follow this
--Credit Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Portfolio Credit Risk of Default and Spread Widening
Year Of Publication: 2011
Month Of Publication: August
Pages: 19
Download Count: 5
View Count: 1389
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 3-4-2012
Publisher: Administrator
Summary
This paper introduces a new model for portfolio credit risk incorporating default and spread widening in one consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula. Their joint evolution drives the spreads widening and triggers defaults, and then the loss can be calculated accordingly. It is a heterogeneous model that takes account of different credit rating and term structure for each underlying spread. This model is applicable to credit risk management, stress test, or to fit into regulatory capital requirements, particularly the Incremental Risk Charge. The procedures of parameter calibration and scenario simulation are provided, and a detailed example is also given to see how this proposed model can be implemented in practice.
Author(s)
Zhao, Hongbiao Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile