Arbeitspapier

A hierarchical Archimedean copula for portfolio credit risk modelling

I introduce a novel, hierarchical model of tail dependent asset returns which can be particularly useful for measuring portfolio credit risk within the structural framework. To allow for a stronger dependence within sub-portfolios than between them, I utilise the concept of nested Archimedean copulas, but modify the nesting procedure to ensure the compatibility of copula generators by construction. This makes sampling straightforward. Moreover, I provide details on a particular specification based on a gamma mixture of powers. This model allows for lower tail dependence, resulting in a more conservative credit risk assessment than a comparable Gaussian model. I illustrate the extent of model risk when calculating VaR or Expected Shortfall for a credit portfolio.

ISBN
978-3-86558-755-8
Sprache
Englisch

Erschienen in
Series: Discussion Paper Series 2 ; No. 2011,14

Klassifikation
Wirtschaft
Specific Distributions; Specific Statistics
Computational Techniques; Simulation Modeling
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Thema
portfolio credit risk
nested Archimedean copula
tail dependence
hierarchical dependence structure

Ereignis
Geistige Schöpfung
(wer)
Puzanova, Natalia
Ereignis
Veröffentlichung
(wer)
Deutsche Bundesbank
(wo)
Frankfurt a. M.
(wann)
2011

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Puzanova, Natalia
  • Deutsche Bundesbank

Entstanden

  • 2011

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