Copulas and Credit Risk Models

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10242071" target="_blank" >RIV/61989100:27510/18:10242071 - isvavai.cz</a>

Výsledek na webu

<a href="https://is.muni.cz/do/econ/sborniky/2018/Proceedings_finalni_verze_September_3.pdf" target="_blank" >https://is.muni.cz/do/econ/sborniky/2018/Proceedings_finalni_verze_September_3.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Copulas and Credit Risk Models

Popis výsledku v původním jazyce

The topic of this paper is copulas and credit risk models. Generally, there is a core implicit assumption of credit risk models that the critical variables are normally distributed, which is too simplified in the reality. There is no compelling reason for choosing the normal distribution. Therefore, the goal of this paper is to find out the real distributions based on the concept of copulas and then better quantify the credit risk. There is a portfolio that consists of ten bonds issued by quoted companies in the Frankfurt Stock Exchange (FSE) with a 10-million-euro total nominal value over one year, from January 9th, 2017 to January 8th, 2018. The credit risk of the portfolio is quantified under the framework of the CreditMetrics (TM) model, a typical industry example of the threshold models. Two main types of copulas include elliptical copulas and Archimedean copulas. The parameters of a parametric copula are estimated by MLE and then the copula is selected by computing AIC and BIC. Compared with the original CreditMetrics (TM) model with an assumption of normal distribution, the probability density curve obtained based on copulas are more right-tailed and the credit risk of the portfolio is better quantified.

Název v anglickém jazyce

Copulas and Credit Risk Models

Popis výsledku anglicky

The topic of this paper is copulas and credit risk models. Generally, there is a core implicit assumption of credit risk models that the critical variables are normally distributed, which is too simplified in the reality. There is no compelling reason for choosing the normal distribution. Therefore, the goal of this paper is to find out the real distributions based on the concept of copulas and then better quantify the credit risk. There is a portfolio that consists of ten bonds issued by quoted companies in the Frankfurt Stock Exchange (FSE) with a 10-million-euro total nominal value over one year, from January 9th, 2017 to January 8th, 2018. The credit risk of the portfolio is quantified under the framework of the CreditMetrics (TM) model, a typical industry example of the threshold models. Two main types of copulas include elliptical copulas and Archimedean copulas. The parameters of a parametric copula are estimated by MLE and then the copula is selected by computing AIC and BIC. Compared with the original CreditMetrics (TM) model with an assumption of normal distribution, the probability density curve obtained based on copulas are more right-tailed and the credit risk of the portfolio is better quantified.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

European Financial Systems 2018 : proceedings of the 15th international scientific conference : June 25-26, 2018, Brno, Czech Republic

ISBN

978-80-210-8980-8

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

780-787

Název nakladatele

Masarykova univerzita

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

25. 6. 2018

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000462948800099