Implications of Default Dependency on Portfolio Risk

We highlight important and specific characteristics of default risk and methodological implications. In a simulation contrasting independent, Gaussian and Clayton copulas, we also show that joint default probabilities might be a hidden source of risk in conventional portfolio models of default

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Year of publication:	[2021]
Authors:	Steiner, Andreas
Publisher:	[S.l.] : SSRN
Subject:	Finanzdienstleistung \| Financial services \| Portfolio-Management \| Portfolio selection \| Kreditrisiko \| Credit risk \| Insolvenz \| Insolvency \| Risikomanagement \| Risk management

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 01, 2021 erstellt
Other identifiers:	10.2139/ssrn.3870783 [DOI]
Classification:	G11 - Portfolio Choice ; C02 - Mathematical Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013221213