Credit Risk: Worst Case Scenarios for Swap Portfolios

The first objective of this paper is to apply the model of Barth (1999) to the numerical generation of credit loss distributions of a portfolio consisting entirely of interest rate swaps ...

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Alternative title:	Kreditrisiko: Worst-Case-Szenarien für Swap-Portfolios
Year of publication:	1999-03-01
Authors:	Barth, Jörn
Publisher:	Universität <Mannheim> / Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Risikotheorie, Portfolio Management und Versicherungswirtschaft
Subject:	Szenario \| Wertpapierportefeuille \| Reaktionsfunktion \| reaction functions \| Zinsswap

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Table of Contents
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0 Introduction
1 Short Description of the Model
2 Worst Case Measures
2.1 Percentile-based Measures
2.2 Other Measures
3 Numerics: Swap Portfolio
3.1 Without Response
3.2 With Response
4 Extensions
5 Conclusion

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