A Credit Risk Model Incorporating MicrostructuralDependencies and Stochastic Recovery

A credit risk model for determining aggregated portfolio losses is suggested.Beside the common macrostructural dependencies between assetand recovery value, we incorporate possible inter-rm relations among theobligors of the portfolio. Through this channel we also establish relateddefault probabilities and correlation between probability of default andloss given default. Proposing a recursive approximation we obtain explicitrepresentations for the asset value.[...]

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Year of publication:	2009-06-01
Authors:	Jüttner, Matthias
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Stochastik \| Kreditrisiko \| Portfoliomanagement \| portfolio management \| Abhängigkeit \| depenence

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1 Introduction
2 The model
2.1 Basic setup
2.2 Integrating microstructure
2.3 Approximation
2.4 Properties of the model
3 Comparative analysis
3.1 Introduction
3.2 Asset correlation
3.3 Conditional expected loss
3.4 Modied Basel II
4 Conclusion
5 Appendix
References

Persistent link: https://www.econbiz.de/10005868726