Modeling and calibrating the correlation structure of a credit portfolio:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2012
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Kumul. Diss. |
| Beschreibung: | VIII, 126 Bl. graph. Darst. |
Internformat
MARC
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
CONTENTS
1 INTRODUCTION 1
2 SPECIFICATION RISK AND CALIBRATION EFFECTS O F A MULTIFACTOR CREDIT
PORTFOLIO M O D E L 1 0
2.1 INTRODUCTION 12
2.2 CREDIT PORTFOLIO RISK MODEL 16
2.3 PROXIES FOR CREDITWORTHINESS 19
2.4 CALIBRATION FRAMEWORK 22
2.5 DATA 26
2.6 RESULTS 29
2.7 SUMMARY AND CONCLUSION 43
2.A DEPENDENCE STRUCTURE: ASSET CORRELATION, DE FAULT CORRELATION AND
JOINT PROBABILITY OF DEFAULT 46 2.B STATISTICAL TESTS 49
2.C COMPANIES 50
3 APPLICATION O F PAIR-COPULA CONSTRUCTIONS T O CREDIT PORTFOLIO RISK 5
1
3.1 INTRODUCTION 53
3.2 METHODOLOGY OF PAIR-COPULA CONSTRUCTIONS . . . 56 3.3 CALCULATING
ECONOMIC CAPITAL BASED ON COPULAS 61 3.4 CALIBRATION CONCEPT 65
3.5 ECONOMIC AND STATISTICAL IMPLICATIONS OF USING P C C 69
3.6 CONCLUSION 74
VII
HTTP://D-NB.INFO/1027037577
IMAGE 2
CONTENTS
4 A S S E T CORRELATION IN R M B S REFERENCE PORTFOLIOS 7 6
4.1 INTRODUCTION 77
4.2 ESTIMATION METHODOLOGIES 79
4.3 SIMULATION STUDY 88
4.4 DATA 93
4.5 ESTIMATED ASSET CORRELATION 102
4.6 DISCUSSION AND INTERPRETATION OF THE RESULTS . . 113
BIBLIOGRAPHY 1 1 6
VIII
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| any_adam_object | 1 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.10681 |
| dewey-sort | 3332.10681 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV040420647 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:23:41Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025273392 |
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| physical | VIII, 126 Bl. graph. Darst. |
| publishDate | 2012 |
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| spelling | Geidosch, Marco Verfasser aut Modeling and calibrating the correlation structure of a credit portfolio vorgelegt von Marco Geidosch 2012 VIII, 126 Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Kumul. Diss. Regensburg, Univ., Diss., 2012 Bank (DE-588)4004436-1 gnd rswk-swf Modellierung (DE-588)4170297-9 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Korrelation (DE-588)4165343-9 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Bank (DE-588)4004436-1 s Kreditrisiko (DE-588)4114309-7 s Korrelation (DE-588)4165343-9 s Modellierung (DE-588)4170297-9 s b DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025273392&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Geidosch, Marco Modeling and calibrating the correlation structure of a credit portfolio Bank (DE-588)4004436-1 gnd Modellierung (DE-588)4170297-9 gnd Kreditrisiko (DE-588)4114309-7 gnd Korrelation (DE-588)4165343-9 gnd |
| subject_GND | (DE-588)4004436-1 (DE-588)4170297-9 (DE-588)4114309-7 (DE-588)4165343-9 (DE-588)4113937-9 |
| title | Modeling and calibrating the correlation structure of a credit portfolio |
| title_auth | Modeling and calibrating the correlation structure of a credit portfolio |
| title_exact_search | Modeling and calibrating the correlation structure of a credit portfolio |
| title_full | Modeling and calibrating the correlation structure of a credit portfolio vorgelegt von Marco Geidosch |
| title_fullStr | Modeling and calibrating the correlation structure of a credit portfolio vorgelegt von Marco Geidosch |
| title_full_unstemmed | Modeling and calibrating the correlation structure of a credit portfolio vorgelegt von Marco Geidosch |
| title_short | Modeling and calibrating the correlation structure of a credit portfolio |
| title_sort | modeling and calibrating the correlation structure of a credit portfolio |
| topic | Bank (DE-588)4004436-1 gnd Modellierung (DE-588)4170297-9 gnd Kreditrisiko (DE-588)4114309-7 gnd Korrelation (DE-588)4165343-9 gnd |
| topic_facet | Bank Modellierung Kreditrisiko Korrelation Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025273392&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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