A hierarchical Archimedean copula for portfolio credit risk modelling

Arbeitspapier

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.

Angaben zum Objekt

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

Verweise und Beziehungen

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

Klassifikation und Themen

• 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

Beteiligte, Orts- und Zeitangaben

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

Weitere Informationen

• Handle: http://hdl.handle.net/10419/52132
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ