Ekonomická a finančná matematika

Dobrý deň,
rád by som Vás pozval na seminár odboru výskumu, ktorý sa uskutoční vo štvrtok 27. septembra 2012 o 13:00 v zasadačke na ôsmom poschodí v budove NBS.

Dale W.R. Rosenthal (University of Illinois at Chicago)
Approximating Correlated Defaults

Abstract
Modeling defaults is critical to risk management as well as pricing debt portfolios and portfolio derivatives. In the recent financial crisis, multi-billion-dollar losses resulted from correlated defaults that were improperly modeled. This paper proposes statistical approximations which are more general than those used previously, follow from an intensity-based risk-factor model, and allow consistent parameter estimation. The parameters imply an approximating portfolio of independent, identical-credit loans and characterize both average credit quality and default-relative diversification (aka the "diversity score"). Unlike previous approaches, these metrics are derived jointly from theory. The approach addresses weaknesses in the typical diversity score-based methods by allowing for fatter tails as well as loans differing in size and credit quality. The approximations may also be used to model complete portfolio default and help set capital adequacy requirements. An example shows how to estimate the approximating portfolio.

Pripájam link na článok: http://papers.ssrn.com/sol3/papers.cfm? ... id=1317865

Účasť na seminári prosím potvrďte emailom na adrese matus.senaj@nbs.sk.

Prajem pekný deň,

Matúš Senaj
Odbor výskumu
Národná banka Slovenska
tel.: 02 5787 2935
e-mail: matus.senaj@nbs.sk
web: http://www.nbs.sk/sk/publikacie/vyskumne-studie
http://ideas.repec.org/f/pse317.html