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- W206596122 abstract "Traditionally, banks estimate their economic capital which has to be reserved for unexpected credit losses with individual credit portfolio models. Many of those have its roots in the $$text {CreditRisk}^{+}$$ or in the $$text {CreditMetrics}$$ framework, which were both launched in 1997. Motivated by the current regulatory requirements, banks are required to analyze how sensitive their models (and the resulting risk figures) are with respect to the underlying assumptions. Within this context, we concentrate on the dependence structure in terms of copulas in both frameworks. By replacing the underlying copula and using other popular competitors instead, we quantify the effect on the tail, in general, and on the risk figures in specific for a hypothetical loan portfolio." @default.
- W206596122 created "2016-06-24" @default.
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- W206596122 date "2015-01-01" @default.
- W206596122 modified "2023-10-16" @default.
- W206596122 title "Copula-Specific Credit Portfolio Modeling" @default.
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- W206596122 doi "https://doi.org/10.1007/978-3-319-09114-3_8" @default.
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