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Credit Portfolio Risk and Asset Price Cycles
Company: Computational Management Science
Year Of Publication: 2007
Month Of Publication: April
Resource Link: Click here to open
Download Count: 339
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 5-6-2007
Publisher: Administrator
Summary
It is a stylized fact that credit risk is high at the same time when asset values are depressed. However, most of the standard credit risk models ignore this kind of correlation, leading to underestimation of risk measures of portfolio credit risk such as Value at Risk and Expected Shortfall. In our paper we make an attempt to quantify the underestimation of these risk measures when the dependence between credit risk and asset values is ignored and show that credit risk is underestimated by a significant margin.
THIS IS A PRE-PUBLICATION VERSION OF THE DOCUMENT.
Author(s)
Rheinberger, Klaus Sign in to follow this author
Summer, Martin Sign in to follow this author
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