izpis_h1_title_alt

Modelling and calibration errors in measures of portfolio credit risk
Tarashev, Nikola A. (Avtor), Zhu, Haibin (Avtor)

URLURL - Predstavitvena datoteka, za dostop obiščite http://www.bis.org/publ/work230.pdf Novo okno

Izvleček
This paper develops an empirical procedure for analyzing the impact of model misspecification and calibration errors on measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure reveals that violations of key assumptions of the well-known Asymptotic Single-Risk Factor (ASRF) model are virtually inconsequential. By contrast, flaws in the calibrated interdependence of credit risk across exposures, which are driven by plausible small-sample estimation errors or popular rule-of-thumb values of asset return correlations, can lead to significant inaccuracies in measures of portfolio credit risk. Similar inaccuracies arise under erroneous, albeit standard, assumptions regarding thetails of the distribution of asset returns.

Jezik:Angleški jezik
Ključne besede:trg kapitala, portfolio, vrednotenje, napake, simulacija, krediti, tveganje, capital market, portfolio, valuation, errors, simulation, credit, risk
Vrsta gradiva:Delo ni kategorizirano (r6)
Organizacija:EF - Ekonomska fakulteta
Leto izida:2007
Založnik:Bank for International Settlements, Monetary and Economic Department
Št. strani:38 str.
Kraj:Basel
UDK:336
COBISS.SI-ID:17261030 Povezava se odpre v novem oknu
Število ogledov:405
Število prenosov:123
Metapodatki:XML RDF-CHPDL DC-XML DC-RDF
 
Skupna ocena:(0 glasov)
Vaša ocena:Ocenjevanje je dovoljeno samo prijavljenim uporabnikom.
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