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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
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Comment Num: 0
Language: EN
Who Can Read: Free
Date: 11-25-2004
Publisher: Administrator
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
Wehrspohn, Uwe Sign in to follow this author
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