Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/230748
Autoren: 
Packham, Natalie
Kalkbrener, Michael
Overbeck, Ludger
Datum: 
2018
Schriftenreihe/Nr.: 
IRTG 1792 Discussion Paper No. 2018-037
Zusammenfassung: 
We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions encompassing many distributions commonly found in nancial modelling. It turns out that the asymptotic limit of default probabilities and default correlations depend on the max-domain of the elliptical distribution's mixing variable. In case the mixing variable is regularly varying, default probabilities are strictly smaller than 1 and default correlations are in (0; 1). Both can be expressed in terms of the Student t-distribution function. In the rapidly varying case, default probabilities are 1 and default correlations are 0. We compare our results to the tail dependence function and discuss implications for credit portfolio modelling.
Schlagwörter: 
financial risk management
credit portfolio modelling
stress testing
elliptic distribution
max-domain
JEL: 
C00
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.