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.
Dieser Eintrag ist Teil der Universitätsbibliographie.
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