Credit Risk : Worst Case Scenarios of Homogenic Swap Portfolios


Barth, Jörn


URL: http://www.vwl.uni-mannheim.de/gk/wp/gkwp-1999-02....
Additional URL: http://citeseerx.ist.psu.edu/viewdoc/download?doi=...
Document Type: Working paper
Year of publication: 1999
The title of a journal, publication series: GK Working Paper Series
Volume: 99-02
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > Graduiertenkolleg VWL/BWL
Subject: 330 Economics
Abstract: 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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Barth, Jörn (1999) Credit Risk : Worst Case Scenarios of Homogenic Swap Portfolios. GK Working Paper Series Mannheim 99-02 [Working paper]


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