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Systemic risk contributions : a credit portfolio approach

Düllmann, Klaus; Puzanova, Natalia - 2011

We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...

Persistent link: https://www.econbiz.de/10009011220

Systemic Risk Contributions : A Credit Portfolio Approach

Düllmann, Klaus - 2016

We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. We measure systemic risk...

Persistent link: https://www.econbiz.de/10012989230

Systemic Risk Contributions : A Credit Portfolio Approach

Tente, Natalia - 2011

institutions. We apply our approach to a panel of 54 to 86 of the world's major commercial banks, using 13 years of monthly data …

Persistent link: https://www.econbiz.de/10013118586

Measuring Portfolio Credit Risk : Modelling Versus Calibration Errors

Tarashev, Nikola A. - 2013

A model-based assessment of credit risk is subject to both specification and calibration errors. Focusing on a well known credit risk model, we propose a methodology for quantifying the relative importance of alternative sources of such errors and apply this methodology to a large data set. We...

Persistent link: https://www.econbiz.de/10013092065

Measuring Portfolio Credit Risk : Modeling Versus Calibration Errors

Tarashev, Nikola A. - 2013

Persistent link: https://www.econbiz.de/10013094771

Efficient Algorithms for Calculating Risk Measures and Risk Contributions in Copula Credit Models

Huang, Zhenzhen; Kwok, Yue Kuen; Xu, Ziqing - 2023

interpolation procedure. We also propose new formulas to enhance the cross entropy method for the estimation of the optimal …

Persistent link: https://www.econbiz.de/10014257228

Default Risk Charge : Modeling Framework for the 'Basel' Risk Measure

Wilkens, Sascha - 2017

Revised standards for capital requirements for market risks in a bank's trading book have been issued as a result of the Fundamental Review of the Trading Book. Under the new standards, default risk needs to be measured and capitalized through a dedicated Default Risk Charge (DRC). While...

Persistent link: https://www.econbiz.de/10012971306

External Risk Measures and Basel Accords

Kou, Steven - 2013

Choosing a proper external risk measure is of great regulatory importance, as exemplified in the Basel II and Basel III Accord which use Value-at-Risk (VaR) with scenario analysis as the risk measures for setting capital requirements. We argue a good external risk measure should be robust with...

Persistent link: https://www.econbiz.de/10013091039

Credit risk calibration based on CDS spreads

Chao, Shih-kang; Härdle, Wolfgang; Thu, Hien Pham - 2014

As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit default swap spread returns to the concept of 4CoVaR suggested...

Persistent link: https://www.econbiz.de/10010354176

Fixing Risk Neutral Risk Measures

Stein, Harvey J. - 2017

, it is critical that these calculations be carried out under the real world measure, not the risk neutral measure. To help … rectify the situation, we show how to exploit measure changes to efficiently compute real world exposures in a risk neutral … framework, even when there is no change of measure from the risk neutral measure to the real world measure. We also develop a …

Persistent link: https://www.econbiz.de/10012973703