Contributions to Credit Portfolio Modeling and Optimization:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Frankfurt am Main [u.a.]
Lang, Peter Frankfurt
2011
|
| Series: | Schriften zur empirischen Wirtschaftsforschung
18 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIII, 105 S. |
| ISBN: | 9783631611715 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | IMAGE 1
CONTENTS
ABSTRACT VII
ACKNOWLEDGEMENTS IX
1 GENERAL INTRODUCTION I
1.1 INTRODUCTION TO CREDIT PORTFOLIO MODELING AND OPTIMIZATION . . 1 1.2
BASEL II FRAMEWORK FOR CREDIT RISK 2
1.3 OUTLINE OF THE DISSERTATION 4
2 AN OVERVIEW OF CREDIT PORTFOLIO MODELS 13
2.1 PORTFOLIO LOSS DISTRIBUTION 14
2.2 MIXTURE MODELS 15
2.3 FINITE STATE AND THRESHOLD MODELS 16
2.4 THRESHOLD MODELS AS BERNOULLI MIXTURE MODELS 20
2.5 ACTUARIAL MODELS 20
2.6 CONCLUDING REMARKS ON PART I 22
3 CREDIT PORTFOLIO MODEL FOR VALIDATING DEFAULT RISK 25
3.1 A TWO-STATE DEFAULT RISK MODEL 26
3.2 DEFAULT AND ASSET CORRELATIONS 28
3.3 COUNTING DEFAULTS 30
3.4 FACTOR MODEL CALIBRATION AND VALIDATION 31
3.4.1 THE CALIBRATION PROBLEM 31
3.4.2 CALIBRATION WITH EQUITY DATA 33
3.4.3 VALIDATION WITH HISTORICAL DEFAULT INFORMATION 34
4 ESTIMATORS APPLIED TO DEFAULT DATA 35
4.1 HOMOGENEOUS COHORTS 35
4.2 MOMENT ESTIMATOR AND ITS VARIANT 36
4.3 MAXIMUM LIKELIHOOD ESTIMATOR 37
4.4 THEORETICAL ANALYSIS OF THE ESTIMATORS 39
XI
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1010360957
DIGITALISIERT DURCH
IMAGE 2
4.4.1 MOMENT ESTIMATOR 40
4.4.2 A VARIANT OF MOMENT ESTIMATOR 45
4.4.3 MAXIMUM LIKELIHOOD ESTIMATOR 47
5 MODEL VALIDATION 49
5.1 MODEL VALIDATION BASED ON DEFAULT DATA 49
5.1.1 CORRELATIONS OF RATING COHORTS 49
5.1.2 CORRELATIONS OF INDUSTRY COHORTS 51
5.2 VALIDATION BASED ON RATING DATA 54
5.2.1 CREDIT PORTFOLIO MODEL FOR DEFAULT AND MIGRATION RISK . 54 5.2.2
COUNTING RATING MIGRATIONS 56
5.2.3 MAXIMUM LIKELIHOOD ESTIMATOR FOR RATING DATA 57 5.2.4 MODEL
VALIDATION WITH RATING DATA 59
5.3 MODEL EXTENSIONS: RELAXING THE NORMAL DISTRIBUTION ASSUMPTION 60 5.4
MODELING THE CREDIT CYCLE 61
5.5 STABILITY OF ASSET CORRELATIONS 63
5.5.1 MONTE CARLO STUDIES 65
5.5.2 PDS QUANTILE APPROACH 68
5.6 CONCLUDING REMARKS ON PART II 70
6 CREDIT RISK ASSESSMENT AND VALIDATION: THRESHOLD ACCEPTING APPROACH 75
6.1 REGULATORY ISSUES AND CREDIT RISK CLUSTERING 77
6.1.1 GENERAL FRAMEWORK 77
6.1.2 CREDIT RISK CLUSTERING 78
6.2 OPTIMIZATION HEURISTICS AND CREDIT RISK CLUSTERING 80
6.2.1 THRESHOLD ACCEPTING 80
6.2.2 BASEL II CONSTRAINTS 81
7 VALIDATION TECHNIQUES AND EMPIRICAL ANALYSIS 83
7.1 ACTUAL NUMBER OF DEFAULTS VALIDATION 83
7.2 UNEXPECTED LOSSES VALIDATION 85
7.3 EMPIRICAL ANALYSIS 86
7.3.1 DATA 86
7.3.2 DISCUSSION OF EMPIRICAL RESULTS 87
7.4 CONCLUDING REMARKS ON PART III 89
8 SUMMARY AND OUTLOOK 91
XN
IMAGE 3
APPENDIX 95
CONSTRAINT-HANDLING TECHNIQUES FOR TA 95
GRID SEARCH 96
RESULTS FOR OPTIMAL NUMBER OF GRADES 97
REFERENCES 101
XIN
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| dewey-full | 332.1 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1 |
| dewey-search | 332.1 |
| dewey-sort | 3332.1 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV037344841 |
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| indexdate | 2024-07-09T23:22:32Z |
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| isbn | 9783631611715 |
| language | English |
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| physical | XIII, 105 S. |
| publishDate | 2011 |
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| publisher | Lang, Peter Frankfurt |
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| series | Schriften zur empirischen Wirtschaftsforschung |
| series2 | Schriften zur empirischen Wirtschaftsforschung |
| spelling | Onwunta, Akwum Verfasser (DE-588)144040700 aut Contributions to Credit Portfolio Modeling and Optimization Akwum Onwunta Frankfurt am Main [u.a.] Lang, Peter Frankfurt 2011 XIII, 105 S. txt rdacontent n rdamedia nc rdacarrier Schriften zur empirischen Wirtschaftsforschung 18 Zugl.: Gießen, Diss., 2010 Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditgeschäft (DE-588)4134687-7 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Bankenaufsicht (DE-588)4004450-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditgeschäft (DE-588)4134687-7 s Kreditrisiko (DE-588)4114309-7 s Risikomanagement (DE-588)4121590-4 s Bankenaufsicht (DE-588)4004450-6 s b DE-604 Schriften zur empirischen Wirtschaftsforschung 18 (DE-604)BV012708439 18 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022498469&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Onwunta, Akwum Contributions to Credit Portfolio Modeling and Optimization Schriften zur empirischen Wirtschaftsforschung Risikomanagement (DE-588)4121590-4 gnd Kreditgeschäft (DE-588)4134687-7 gnd Kreditrisiko (DE-588)4114309-7 gnd Bankenaufsicht (DE-588)4004450-6 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4134687-7 (DE-588)4114309-7 (DE-588)4004450-6 (DE-588)4113937-9 |
| title | Contributions to Credit Portfolio Modeling and Optimization |
| title_auth | Contributions to Credit Portfolio Modeling and Optimization |
| title_exact_search | Contributions to Credit Portfolio Modeling and Optimization |
| title_full | Contributions to Credit Portfolio Modeling and Optimization Akwum Onwunta |
| title_fullStr | Contributions to Credit Portfolio Modeling and Optimization Akwum Onwunta |
| title_full_unstemmed | Contributions to Credit Portfolio Modeling and Optimization Akwum Onwunta |
| title_short | Contributions to Credit Portfolio Modeling and Optimization |
| title_sort | contributions to credit portfolio modeling and optimization |
| topic | Risikomanagement (DE-588)4121590-4 gnd Kreditgeschäft (DE-588)4134687-7 gnd Kreditrisiko (DE-588)4114309-7 gnd Bankenaufsicht (DE-588)4004450-6 gnd |
| topic_facet | Risikomanagement Kreditgeschäft Kreditrisiko Bankenaufsicht Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=022498469&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012708439 |
| work_keys_str_mv | AT onwuntaakwum contributionstocreditportfoliomodelingandoptimization |