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Printable Handouts
Navigable Slide Index
- Introduction
- Motivation
- Objective
- What Data is Available for Model Construction?
- Overview
- Rating Dynamics 1
- Macrostructure 1
- Macrostructure II - Schematic View
- Macrostructure III Calibration Results
- Microstructure I - Schematic View
- Microstructure III - Definition
- Microstructure IV - Economics
- Microstructure V - Structural Condition
- Microstructure VI Compatibility Conditions
- Model Specifications I
- Model Specifications II
- Model Specifications III - Approximations
- Overview
- Setup - Heavy Gravity Portfolio
- Setup - Diversified Debtors Portfolio
- Setup - Real Business Portfolio
- Results - Additional Correlation for A in the DDP
- Results - Additional Correlation for A in the HGP
- Results - Additional Correlation for A in the RBP
- Terminology - Additional Risk
- Results - Additional Risk in the HGP
- Results - Additional Risk in the RBP
- Results - Feedback Effects in the RBP
- Results - Marginal Risk Contributions in RBP (1)
- Results - Marginal Risk Contributions in RBP (2)
- Conclusions
- References
Topics Covered
- Portfolio credit risk
- Integrating macrostructural and microstructural interdependencies
- Gaussian copula
- Credit portfolio as a graph
- Impact of business dependencies on correlation
- Feedback effects
- Marginal risk contribution
Talk Citation
Leippold, M.A. (2007, October 1). Modeling business dependencies for credit portfolios [Video file]. In The Business & Management Collection, Henry Stewart Talks. Retrieved November 13, 2024, from https://doi.org/10.69645/UMGP5557.Export Citation (RIS)