Search Results - subject:"portfolio losses"

Cyclical correlations, credit contagion, and portfolio losses

Giesecke, Kay; Weber, Stefan - 2003

business partners. We provide an explicit normal approximation of the distribution of total portfolio losses, which is the key … portfolio losses. In particular, we find that cyclical oscillations in fundamentals dominate average portfolio losses, while …

Persistent link: https://www.econbiz.de/10010296447

Cyclical correlations, credit contagion, and portfolio losses

Giesecke, Kay; Weber, Stefan - Sonderforschungsbereich 373, Quantifikation und … - 2003

Persistent link: https://www.econbiz.de/10010956356

Credit contagion and aggregate losses

Giesecke, Kay; Weber, Stefan - 2002

Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of financial positions. The joint dynamics of firms' credit...

Persistent link: https://www.econbiz.de/10010310558

Credit contagion and aggregate losses

Giesecke, Kay; Weber, Stefan - Sonderforschungsbereich 373, Quantifikation und … - 2002

Persistent link: https://www.econbiz.de/10010956422

Copula based simulation procedures for pricing collateralised debt obligations

Abid, Fathi; Naifar, Nader - In: International Journal of Applied Management Science 2 (2010) 3, pp. 239-261

portfolio losses. Gaussian copulas and Monte Carlo simulation are widely used to measure the default risk in basket credit …

Persistent link: https://www.econbiz.de/10008755261

Credit Contagion and Aggregate Losses

Weber, Stefan; Giesecke, Kay - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005537789