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Credit Risk : Worst Case Scenarios of Homogenic Swap Portfolios
Barth, Jörn
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URL:
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http://www.vwl.uni-mannheim.de/gk/wp/gkwp-1999-02....
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Weitere URL:
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http://citeseerx.ist.psu.edu/viewdoc/download?doi=...
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Dokumenttyp:
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Arbeitspapier
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Erscheinungsjahr:
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1999
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Titel einer Zeitschrift oder einer Reihe:
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GK Working Paper Series
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Band/Volume:
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99-02
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Ort der Veröffentlichung:
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Mannheim
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Sprache der Veröffentlichung:
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Englisch
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Einrichtung:
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Fakultät für Rechtswissenschaft und Volkswirtschaftslehre > Graduiertenkolleg VWL/BWL
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Fachgebiet:
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330 Wirtschaft
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Abstract:
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The first objective of this paper is to apply the model of Barth (1999) to the
numerical generation of credit loss distributions of a portfolio consisting entirely of
interest rate swaps. The different possibilities for modelling the response function,
which gives the impact of a interest rate change onto the credit default probability,
is the main subject of this investigation. The second objective is the discussion
of several measures for the risk-based capital, needed to back the portfolio. The
focus is on the suitablility of these measures to an analysis of worst case scenarios.
While two measures for the risk-based capital are based on percentiles, the third
measure is a coherent measure. These measures are applied to the analysis of the
data generated by the model in regard to the modelling of the response function.
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 | Dieser Eintrag ist Teil der Universitätsbibliographie. |
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Barth, Jörn
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Barth, Jörn
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