Some results in copulas and credit risk models
کد مقاله : 1102-FEMATH (R1)
محمد رضا حدادی *1، رسول احمدی فر2
1معاون آموزشی
2هیئت علمی
چکیده مقاله:
Abstract. The theory of copulas is known to provide a useful tool for modelling dependence in integrated risk management. The approaches to risk measurement in the past focused on measuring the risk of individual obligor and then summing them up. In recent years, more attention is paid to the assessment of portfolio risk. This paper is an extensive examination of the Gaussian copula for default correlation. The accuracy of the assumptions underlying the Gaussian copula model. Also we establish that the Gaussian copula is too optimistic on divarication benefits, while the Gumbel copula is too pessimistic. Moreover, these differences are significant. This hypothesis underestimates the probability that a catastrophic event, such as a simultaneous slump of equity prices or the joint default of several counterparties in a credit portfolio, might occur. This kind of event worries both risk managers and supervisors. Our goal is to show that the use of a copula function different from the Gaussian copula can model such extreme events effectively.
کلیدواژه ها:
Copula function, correlation, dependence structure, portfolio risk.
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