Results 11 to 20 of about 982,306 (342)
Estimating Portfolio Credit Losses in Downturns [PDF]
Financial Markets, Institutions & Instruments, 2015 This paper suggests formulas able to capture potential strong connection among credit losses in downturns without assuming any specific distribution for the variables involved. We first show that the current model adopted by regulators (Basel) is equivalent to a conditional distribution derived from the Gaussian Copula (which does not identify tail ...
Fernando Moreira
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Stress Testing of Real Credit Portfolios [PDF]
SSRN Electronic Journal, 2008 Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimates do not explicitly take portfolio concentration into account. We start from the credit portfolio of the German pension insurer being a cross-sectional representation of the German economy and subsequently compose three bank portfolios corresponding to a small,
Mager, Ferdinand, Schmieder, Christian
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Prizren Social Science Journal, 2018 Foreign investors who come to the country receive credit default swaps which are an insurance against the possibility of failing to fulfill the obligations of the host country.
Ahmet KAHILOGULLARI
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Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios [PDF]
Finance and Stochastics, 2013 We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing for default correlation through a common jump process.
Lijun Bo, Agostino Capponi
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Robust neural network with applications to credit portfolio data analysis. [PDF]
Stat Interface, 2010 Feng Y, Li R, Sudjianto A, Zhang Y.
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Quantum algorithm for calculating risk contributions in a credit portfolio [PDF]
EPJ Quantum Technology, 2022 Finance is one of the promising field for industrial application of quantum computing. In particular, quantum algorithms for calculation of risk measures such as the value at risk and the conditional value at risk of a credit portfolio have been proposed.
Koichi Miyamoto
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Portfolio Sensitivity Model for Analyzing Credit Risk Caused by Structural and Macroeconomic Changes [PDF]
Financial Theory and Practice, 2008 This paper proposes a new model for portfolio sensitivity analysis. The model is suitable for decision support in financial institutions, specifically for portfolio planning and portfolio management.
Goran Klepac
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Diversifikasi Portofolio Kredit, Risiko dan Return Bank
Jurnal Akuntansi, 2023 Banks as financial intermediaries, can diversify their credit portfolios into different sectors. This study aims to determine the effect of credit portfolio diversification on risks borne and returns earned by banks.
Rahmat Setiawan +2 more
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Modelling Dynamic Portfolio Credit Risk
Social Science Research Network, 2023 In this paper we present a model to price and hedge basket credit derivatives and collateralised loan obligation. Based upon the copula-approach by Schonbucher and Schubert (2001) the model allows a specification of the joint dynamics of credit spreads ...
E. Rogge, P. Schoenbucher
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The effect of diversification of the credit portfolio on bank’s credit risk [PDF]
تحقیقات مالی, 2016 The credit portfolio management and the optimal credit portfolio selection are identified as one of the most effective factors in banks’ credit risk. Two main strategies in this regard include diversification versus concentration. In this study, at first,
Ezatollah Abbasian +2 more
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