In addition to “classical” approaches, such as the Gaussian CreditMetrics or Basel II model, recentlythe use of other copulas has been proposed in the area of credit risk for modeling loss distributions,particularly T copulas which lead to fatter tails ceteris paribus. As an amendment to...

Among the most crucial input parameters for credit portfolio risk models are the co-movements ofdefault risks. Due to limited empirical evidence about the magnitude of correlations the New BaselCapital Accord sets standard requirements for calculating regulatory capital requirements, e.g. in...

Bei der Modellierung von Kreditportfoliorisiken stellt die Quantifizierung von Korrelationen zwischen Ausfällen bzw. Bonitätsveränderungen eine zentrale Herausforderung dar. Es läßt sich zwischen direkten und indirekten Modellierungsansätzen unterscheiden. Während erstere den...

Among the most crucial input parameters for credit portfolio risk models are the co-movements of default risks. Due to limited empirical evidence about the magnitude of correlations the New Basel Capital Accord sets standard requirements for calculating regulatory capital requirements, e.g. in...