Challenges of capital allocation in one- and multi-period credit risk:
Saved in:
| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | Volltext https://nbn-resolving.org/urn:nbn:de:bvb:355-epub-291921 Inhaltsverzeichnis |
| Physical Description: | VI, 99 Bl. graph. Darst. |
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
1 BACKGROUND AND MOTIVATION 1
2 JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT
RISK
MODELS 7
2.1 INTRODUCTION 8
2.2 MOTIVATION 10
2.2.1 MOTIVATING EXAMPLE 10
2.2.2 PROBLEM STATEMENT AND NOTATION 12
2.3 THEORETICAL RESULTS 15
2.3.1 FACTOR MODELS - PREREQUISITES 15
2.3.2 FACTOR MODELS - ONE ASSET CLASS 16
2.3.3 FACTOR MODELS - MORE THAN ONE ASSET CLASSES 17
2.3.4 MIXTURE MODELS 21
2.3.5 GRANULARITY ADJUSTMENTS 23
2.3.6 SUMMARY OF THEORETICAL RESULTS 23
2.4 EVIDENCE FROM SIMULATION 24
2.4.1 GENERAL MODEL ASSUMPTIONS 24
2.4.2 ONE ASSET CLASS 25
2.4.3 MORE THAN ONE ASSET CLASSES 28
2.5 CONCLUSION 33
3 CAPITAL ALLOCATION AND PER-UNIT RISK IN INHOMOGENEOUS AND STRESSED
CREDIT PORTFOLIOS 35
3.1 INTRODUCTION 36
3.2 PRINCIPLES AND NOTATION 38
3.2.1 NOTATION 38
3.2.2 CREDIT PORTFOLIO MODEL AND RISK MEASURES 39
HTTP://D-NB.INFO/1047720833
CONTENTS
3.2.3 ALLOCATION PRINCIPLE AND PORTFOLIO OPTIMIZATION 39
3.2.4 PER-UNIT RISK IN HOMOGENEOUS CREDIT PORTFOLIOS 40
3.3 PER-UNIT RISK IN INHOMOGENEOUS AND STRESSED CREDIT PORTFOLIOS 42
3.3.1 CREDIT PORTFOLIOS OF MODERATE INHOMOGENEITY 42
3.3.2 CREDIT PORTFOLIOS WITH DEVIANT INPUT PARAMETERS 43
3.3.3 STRESSED CREDIT PORTFOLIOS 43
3.4 MONTE CARLO EVIDENCE 44
3.4.1 CREDIT PORTFOLIOS OF MODERATE INHOMOGENEITY 44
3.4.2 CREDIT PORTFOLIOS WITH DEVIANCE IN THE INPUT PARAMETERS 48
3.4.3 STRESSED CREDIT PORTFOLIOS 52
3.5 CONCLUSION AND MANAGERIAL IMPLICATIONS 55
4 CAPITAL ALLOCATION IN CREDIT PORTFOLIOS IN A MULTI-PERIOD SETTING 59
4.1 INTRODUCTION 60
4.2 NOTATION AND OBJECTIVE 62
4.3 CREDIT LOSS PROCESSES 63
4.3.1 CHARACTERISTICS OF CREDIT LOSS PROCESSES 63
4.3.2 SIMPLE CREDIT RISK TREES 65
4.3.3 MULTI-PERIOD CREDIT RISK MODELS 66
4.3.4 LINK OF CREDIT RISK MODEL AND PROCESS TYPE 68
4.4 MULTI-PERIOD RISK MEASUREMENT 68
4.4.1 BASIC CONCEPTS 69
4.4.2 APPLICATION ON CREDIT LOSS TREES 74
4.4.3 APPLICATION ON CREDIT RISK MODELS 75
4.5 MULTI-PERIOD CAPITAL ALLOCATION 80
4.6 EFFECTS ON PORTFOLIO OPTIMIZATION 82
4.7 CONCLUSION AND PRACTICAL ASPECTS 84
5 SUMMARY AND FUTURE RESEARCH 87
A APPENDIX TO CHAPTER 2 . 89
A.L PROOF OF THEOREM 1 89
A.2 PROOF OF THEOREM 4 89
A.3 SIMULATION RESULTS FOR EXPECTED SHORTFALL AS RISK MEASURE 90
BIBLIOGRAPHY 93
VI
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| ctrlnum | (OCoLC)867176170 (DE-599)BVBBV041484785 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Pfister, Tamara Verfasser aut Challenges of capital allocation in one- and multi-period credit risk von Tamara Pfister 2013 VI, 99 Bl. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Regensburg, Univ., Diss., 2013 Kapitalallokation (DE-588)4280832-7 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Mehr-Perioden-Modell (DE-588)4388956-6 gnd rswk-swf Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditrisiko (DE-588)4114309-7 s Kapitalallokation (DE-588)4280832-7 s Portfolio Selection (DE-588)4046834-3 s Risikoanalyse (DE-588)4137042-9 s Mehr-Perioden-Modell (DE-588)4388956-6 s b DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:355-epub-291921 http://epub.uni-regensburg.de/29192/ Verlag kostenfrei Volltext https://nbn-resolving.org/urn:nbn:de:bvb:355-epub-291921 Resolving-System DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026930691&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Pfister, Tamara Challenges of capital allocation in one- and multi-period credit risk Kapitalallokation (DE-588)4280832-7 gnd Portfolio Selection (DE-588)4046834-3 gnd Mehr-Perioden-Modell (DE-588)4388956-6 gnd Risikoanalyse (DE-588)4137042-9 gnd Kreditrisiko (DE-588)4114309-7 gnd |
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| title | Challenges of capital allocation in one- and multi-period credit risk |
| title_auth | Challenges of capital allocation in one- and multi-period credit risk |
| title_exact_search | Challenges of capital allocation in one- and multi-period credit risk |
| title_full | Challenges of capital allocation in one- and multi-period credit risk von Tamara Pfister |
| title_fullStr | Challenges of capital allocation in one- and multi-period credit risk von Tamara Pfister |
| title_full_unstemmed | Challenges of capital allocation in one- and multi-period credit risk von Tamara Pfister |
| title_short | Challenges of capital allocation in one- and multi-period credit risk |
| title_sort | challenges of capital allocation in one and multi period credit risk |
| topic | Kapitalallokation (DE-588)4280832-7 gnd Portfolio Selection (DE-588)4046834-3 gnd Mehr-Perioden-Modell (DE-588)4388956-6 gnd Risikoanalyse (DE-588)4137042-9 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Kapitalallokation Portfolio Selection Mehr-Perioden-Modell Risikoanalyse Kreditrisiko Hochschulschrift |
| url | http://epub.uni-regensburg.de/29192/ https://nbn-resolving.org/urn:nbn:de:bvb:355-epub-291921 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026930691&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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