Credit Risk : worst case scenarios for swap portfolios

Barth, Jörn

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URN: urn:nbn:de:bsz:180-madoc-2611
Document Type: Working paper
Year of publication: 1999
The title of a journal, publication series: Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Volume: 114
Place of publication: Mannheim
Publication language: English
Institution: Business School > Sonstige - Fakultät für Betriebswirtschaftslehre
MADOC publication series: Lehrstuhl für ABWL, Risikotheorie, Portfolio Management und Versicherungswirtschaft (Albrecht) > Mannheimer Manuskripte zu Risikotheorie, Portfolio Management und Versicherungswirtschaft
Subject: 330 Economics
Subject headings (SWD): Swap , Kreditrisiko
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.
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