Hermite Approximations in Credit Portfolio Modeling with Probability of Default-Loss Given Default Correlation

IF 0.3 4区经济学 Q4 Economics, Econometrics and Finance

Journal of Credit Risk Pub Date : 2015-08-07 DOI:10.21314/jcr.2015.195

A. Owen, J. S. Bryers, Francois Buet-Golfouse

引用次数: 1

Abstract

In this paper, we propose a novel multifactor analytic framework for credit portfolio modeling that incorporates the impact of the probability of default-loss given default correlation. In particular, we provide explicit expressions for calculating volatility, value-at-risk and expected shortfall, along with the associated Euler risk contributions. This approach is an extension and application of the framework proposed by Voropaev in 2011 and Buet-Golfouse and Owen in 2015. The main intended application is for large loan or mortgage portfolios, and as such we neglect idiosyncratic risk adjustments. This simplifies the expressions and improves computational speed. We finish by comparing the analytic results with a vanilla Monte Carlo implementation.

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考虑违约相关性的信用组合违约-损失概率建模中的Hermite逼近

在本文中，我们提出了一个新的多因素分析框架，用于信贷组合建模，该框架包含了给定违约相关性的违约损失概率的影响。特别是，我们提供了计算波动率，风险价值和预期不足的显式表达式，以及相关的欧拉风险贡献。该方法是对Voropaev(2011)和buet - golfuse和Owen(2015)提出的框架的扩展和应用。主要应用于大额贷款或抵押贷款组合，因此我们忽略了特殊风险调整。这简化了表达式，提高了计算速度。最后，我们将分析结果与一个普通的蒙特卡罗实现进行了比较。

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

Journal of Credit Risk BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. The Journal of Credit Risk focuses on the measurement and management of credit risk, the valuation and hedging of credit products, and aims to promote a greater understanding in the area of credit risk theory and practice. The Journal of Credit Risk considers submissions in the form of research papers and technical papers, on topics including, but not limited to: Modelling and management of portfolio credit risk Recent advances in parameterizing credit risk models: default probability estimation, copulas and credit risk correlation, recoveries and loss given default, collateral valuation, loss distributions and extreme events Pricing and hedging of credit derivatives Structured credit products and securitizations e.g. collateralized debt obligations, synthetic securitizations, credit baskets, etc. Measuring managing and hedging counterparty credit risk Credit risk transfer techniques Liquidity risk and extreme credit events Regulatory issues, such as Basel II, internal ratings systems, credit-scoring techniques and credit risk capital adequacy.