Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10011670666
We study the problem of finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals with nonlinear loss function. The method has applications to any situation where marginals are provided, and bounds need to be determined on total portfolio risk....
Persistent link: https://www.econbiz.de/10013084222
Persistent link: https://www.econbiz.de/10008668595
CDO tranche spreads (and prices of related portfolio-credit derivatives) depend on the market's perception of the future loss distribution of the underlying credit portfolio. Applying Sklar's seminal decomposition to the distribution of the vector of default times, the portfolio-loss...
Persistent link: https://www.econbiz.de/10013138603
In this paper, we propose a novel framework for estimating systemic risk measures and risk allocations based on Markov Chain Monte Carlo (MCMC) methods. We consider a class of allocations whose jth component can be written as some risk measure of the jth conditional marginal loss distribution...
Persistent link: https://www.econbiz.de/10012204312
Persistent link: https://www.econbiz.de/10015394058
Persistent link: https://www.econbiz.de/10011403191
We investigate the nature of sovereign credit risk for selected Asian and European countries based on a set of sovereign CDS data over an eight-year period that includes the episode of the 2008-2009 global financial crisis. The principal component analysis results indicate that there exists...
Persistent link: https://www.econbiz.de/10013081098