存在双重违约时鞍点法失效

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2012-09-01 DOI:10.21314/JOR.2012.250

E. Lütkebohmert

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引用次数: 1

摘要

我们证明了鞍点近似法可以量化宇宙多样性的影响。在双重违约效应存在的情况下，信贷组合中的任何特殊风险都是不合适的。Speci吗?因此，我们证明在扩展的单因素CreditRisk+模型中，不存在考虑担保的粒度调整等效公式。此外，在巴塞尔协议II的内部基于评级(IRB)方法中双重违约处理的基础模型的情况下，相当于GA的鞍点过于复杂和复杂，无法与标准蒙特卡洛方法竞争。

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FAILURE OF SADDLE-POINT METHOD IN THE PRESENCE OF DOUBLE DEFAULTS

We show that the saddle-point approximation method to quantify the impact of undiversi?ed idiosyncratic risk in a credit portfolio is inappropriate in the presence of double default effects. Speci?cally, we prove that there does not exist an equivalent formula to the granularity adjustment, that accounts for guarantees, in case of the extended single-factor CreditRisk+ model. Moreover, in case of the model underlying the double default treatment within the internal ratings based (IRB) approach of Basel II, the saddle-point equivalent to the GA is too complex and involved to be competitive to a standard Monte Carlo approach.

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来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.