搜索结果: 1-5 共查到“经济学 Credit Portfolios”相关记录5条 . 查询时间(0.171 秒)
Capital allocation for credit portfolios under normal and stressed market conditions
Capital allocation credit portfolios normal stressed market conditions
2010/10/21
If the probability of default parameters (PDs) fed as input into a credit portfolio model are estimated as through-the-cycle (TTC) PDs stressed market conditions have little impact on the results of ...
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfo...
Analytical Framework for Credit Portfolios. Part I: Systematic Risk
Analytical Framework Credit Portfolios Systematic Risk
2010/11/2
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfol...
Variance-covariance based risk allocation in credit portfolios: analytical approximation
Variance-covariance risk allocation nalytical approximation
2010/11/1
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with ...
Heterogeneous credit portfolios and the dynamics of the aggregate losses
Heterogeneous credit portfolios dynamics aggregate losses
2010/12/20
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that make...