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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/121447

    Title: Estimating multifactor portfolio credit risk: A variance reduction approach
    Authors: 謝明華
    Hsieh, Ming-Hua
    Lee, Yi-Hsi;Shyu, So-De;Chiu, Yu-Fen
    Contributors: 風管系
    Keywords: Portfolio credit risk;Monte Carlo simulation;Variance reduction;Importance sampling;Factor copula models
    Date: 2018
    Issue Date: 2018-12-19 16:36:05 (UTC+8)
    Abstract: The importance of credit markets in China and Asia Pacific has been increased significantly in the past decade and international regulation demands high standard in credit risk quantification for financial institutions. Computation for credit risk measures is a challenge problem. Hence this study aims to develop a fast Monte Carlo approach of estimating portfolio credit risk. The method could be applied to estimate the probability of large losses and the expected excess loss above a large threshold of a credit portfolio, which has a dependence structure driven by general factor copula models. Except for the assumption that a global common factor driving the default events of all defaultable obligors exists, the study does not impose any restrictions on the composition of the portfolio (e.g., stochastic recovery rates). Hence, this method can therefore be applied to a wide range of credit risk models. Numerical results demonstrate that the proposed method is efficient under general market conditions. In the high market impact condition, in credit contagion or market collapse environments, the proposed method is even more efficient.
    Relation: Pacific-Basin Finance Journal
    Data Type: article
    DOI 連結: https://doi.org/10.1016/j.pacfin.2018.08.001
    DOI: 10.1016/j.pacfin.2018.08.001
    Appears in Collections:[風險管理與保險學系 ] 期刊論文

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