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An Integrated Market and Credit Risk Portfolio Model
Company: Algo Research Quarterly
Company Url: Click here to open
Year Of Publication: 1999
Month Of Publication: September
Pages: 21-38
Download Count: 1071
View Count: 6269
Comment Num: 0
Language: EN
Source: article
Who Can Read: Free
Date: 9-13-2002
Publisher: Administrator
Summary
We present a multi-step model to measure portfolio credit risk that integrates exposure simulation and portfolio credit risk techniques. Thus, it overcomes the major limitation currently shared by portfolio models with derivatives. Specifically, the model is an improvement over current portfolio credit risk models in three main aspects. First, it defines explicitly the joint evolution of market factors and credit drivers over time. Second, it models directly stochastic exposures through simulation, as in counterparty credit exposure models. Finally, it extends the Merton model of default to multiple steps. The model is computationally efficient because it combines a Mark-to-Future framework of counterparty exposures and a conditional default probability framework.
(volume 2, number 3)
Author(s)
Iscoe, Ian Sign in to follow this author
Kreinin, Alex Sign in to follow this author
Rosen, Dan Sign in to follow this author
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