scholarly journals The Use of Portfolio Credit Risk Models in Central Banks

2007 ◽  
Author(s):  
Ulrich Bindseil ◽  
Han van der Hoorn ◽  
Ken Nyholm ◽  
Henrik Schwartzlose
Keyword(s):  
Credit Risk ◽  
Central Banks ◽  
Risk Models ◽  
Portfolio Credit Risk

scholarly journals Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-15 ◽  
Author(s):  
Ioannis Anagnostou ◽  
Sumit Sourabh ◽  
Drona Kandhai
Keyword(s):  
Risk Factors ◽  
Credit Risk ◽  
Tail Dependence ◽  
Contagion Effect ◽  
Default Correlation ◽  
Risk Models ◽  
Portfolio Credit Risk ◽  
Synthetic Test ◽  
Stress Propagation ◽  
Systematic Risk Factors

Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of such a conditional independence framework to accommodate for the occasional default clustering has been questioned repeatedly. Thus, financial institutions have relied on stressed correlations or alternative copulas with more extreme tail dependence. In this paper, we propose a different remedy—augmenting systematic risk factors with a contagious default mechanism which affects the entire universe of credits. We construct credit stress propagation networks and calibrate contagion parameters for infectious defaults. The resulting framework is implemented on synthetic test portfolios wherein the contagion effect is shown to have a significant impact on the tails of the loss distributions.

COMPARISON OF DEPENDENCE IN FACTOR MODELS WITH APPLICATION TO CREDIT RISK PORTFOLIOS

2007 ◽  
Vol 22 (1) ◽  
pp. 151-160 ◽  
Author(s):  
Michel Denuit ◽  
Esther Frostig
Keyword(s):  
Credit Risk ◽  
Factor Models ◽  
Risk Models ◽  
Stochastic Orderings ◽  
Portfolio Credit Risk ◽  
Factor Type ◽  
The Individual

This article considers portfolio credit risk models of factor type. The dependence between the individual defaults is driven by a small number of systematic factors. The present work aims to investigate the effect of increasing the strength of the dependence between systematic factors on the default indicators in standard credit risk models. The intensity of the dependence is measured by means of appropriate multivariate stochastic orderings, based on the comparison of supermodular and ultramodular functions.

Estimation of correlations in portfolio credit risk models based on noisy security prices

2015 ◽  
Vol 61 ◽  
pp. 334-349 ◽  
Author(s):  
Mathieu Boudreault ◽  
Geneviève Gauthier ◽  
Tommy Thomassin
Keyword(s):  
Credit Risk ◽  
Security Prices ◽  
Risk Models ◽  
Portfolio Credit Risk

Applying Portfolio Credit Risk Models to Retail Portfolios

2001 ◽  
Vol 2 (3) ◽  
pp. 35-61 ◽  
Author(s):  
NISSO BUCAY ◽  
DAN ROSEN
Keyword(s):  
Credit Risk ◽  
Risk Models ◽  
Portfolio Credit Risk
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