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Navigable Slide Index

1. Introduction
2. Motivation
3. Objective
4. What Data is Available for Model Construction?
5. Overview
6. Rating Dynamics 1
7. Macrostructure 1
8. Macrostructure II - Schematic View
9. Macrostructure III Calibration Results
10. Microstructure I - Schematic View
11. Microstructure III - Definition
12. Microstructure IV - Economics
13. Microstructure V - Structural Condition
14. Microstructure VI Compatibility Conditions
15. Model Specifications I
16. Model Specifications II
17. Model Specifications III - Approximations
18. Overview
19. Setup - Heavy Gravity Portfolio
20. Setup - Diversified Debtors Portfolio
21. Setup - Real Business Portfolio
22. Results - Additional Correlation for A in the DDP
23. Results - Additional Correlation for A in the HGP
24. Results - Additional Correlation for A in the RBP
25. Terminology - Additional Risk
26. Results - Additional Risk in the HGP
27. Results - Additional Risk in the RBP
28. Results - Feedback Effects in the RBP
29. Results - Marginal Risk Contributions in RBP (1)
30. Results - Marginal Risk Contributions in RBP (2)
31. Conclusions
32. 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

Links

Series:

• Quantitative Financial Risk Management

Categories:

• Finance, Accounting & Economics

Talk Citation

Publication History

• Published on October 1, 2007
• Archived on April 4, 2022