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
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