The Default Risk Charge approach to regulatory risk measurement processes

IF 0.6 Q4 STATISTICS & PROBABILITY
M. Bonollo, L. Persio, Luca Prezioso
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引用次数: 2

Abstract

Abstract In the present paper we consider the Default Risk Charge (DRC) measure as an effective alternative to the Incremental Risk Charge (IRC) one, proposing its implementation by a quasi exhaustive-heuristic algorithm to determine the minimum capital requested to a bank facing the market risk associated to portfolios based on assets issued by several financial agents. While most of the banks use the Monte Carlo simulation approach and the empirical quantile to estimate this risk measure, we provide new computational approaches, exhaustive or heuristic, currently becoming feasible because of both the new regulation and to the high speed - low cost technology available nowadays. Concrete algorithms and numerical examples are provided to illustrate the effectiveness of the proposed techniques.
监管风险衡量流程的违约风险收费方法
摘要在本文中,我们认为违约风险费用(DRC)措施是增量风险费用(IRC)措施的一种有效替代方案,并建议通过一种准穷举启发式算法来实现该措施,以确定面临与几个金融机构发行的资产组合相关的市场风险的银行所需的最低资本。虽然大多数银行使用蒙特卡罗模拟方法和经验分位数来估计这一风险度量,但我们提供了新的计算方法,详尽的或启发式的,由于新的监管和当今可用的高速低成本技术,这些方法目前变得可行。文中给出了具体的算法和数值算例来说明所提技术的有效性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Dependence Modeling
Dependence Modeling STATISTICS & PROBABILITY-
CiteScore
1.00
自引率
0.00%
发文量
18
审稿时长
12 weeks
期刊介绍: The journal Dependence Modeling aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling. It is an open access fully peer-reviewed journal providing the readers with free, instant, and permanent access to all content worldwide. Dependence Modeling is listed by Web of Science (Emerging Sources Citation Index), Scopus, MathSciNet and Zentralblatt Math. The journal presents different types of articles: -"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields. -"Review Articles" which present the existing literature on the specific topic from new perspectives. -"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling. The journal topics include (but are not limited to):  -Copula methods -Multivariate distributions -Estimation and goodness-of-fit tests -Measures of association -Quantitative risk management -Risk measures and stochastic orders -Time series -Environmental sciences -Computational methods and software -Extreme-value theory -Limit laws -Mass Transportations
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