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- W2364521674 abstract "As the number of assets in credit portfolio becomes comparatively small, the risk measure VaR calculated by the granularity adjustment approach, introduced by Gordy, will be seriously underestimated. Consequently coherent risk measure (Expected Shortfall) will be overestimated. In this paper, the estimation of ES is improved by granularity adjustment approach through Taylor expansion. On the assumption that industry factor is the linear function of macro-economic factor, so the portfolio invariance condition will be maintained, and it is practicable to develop single factor model into double factor model, which improves the estimation of correlation and solves the problem of overestimating capital charges in single factor model. The results of simulation present the advantages of double factor model. Especially the smaller the asset scale is, the more effective it is." @default.
- W2364521674 created "2016-06-24" @default.
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- W2364521674 date "2008-01-01" @default.
- W2364521674 modified "2023-09-25" @default.
- W2364521674 title "Estimating the Coherent Risk Measure of Credit Portfolio Based on Hierarchical Two-factor Model" @default.
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