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

credit sign in to follow this
loss sign in to follow this
hyperbolic sign in to follow this
distribution 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
Generalized Asset Value Credit Risk Models and Risk Minimality of the Classical Approach
Company: Heidelberg University
Company Url: Click here to open
Year Of Publication: 2003
Month Of Publication: May
Pages: 30
Download Count: 682
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 11-25-2004
Publisher: Administrator
Summary
We place the asset value credit portfolio model in the larger context of generalized correlationmodels where the normal distribution assumption of asset returns is replaced by an abstractelliptical distribution.Based on closed-form solutions for homogenous portfolios, we show in particular that theclassical asset value model is not robust against misspecifications of the assumed asset returndistribution, that it further systematically underestimates portfolio risk, if the asset return distributionis non-normal, and that it may also induce insufficient supply of economic capital tocover credit portfolio risk in the world’s financial institutions
Author(s)
Wehrspohn, Uwe 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