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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Frielingsdorf, T.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Impact of Factor Models on Portfolio Risk Measures: A Structural Approach 
Abstract:
This paperanalyzes the impact of several popular factor models on the calculation of value-at-risk (VaR) for the loss of a credit portfolio with many obligors. The study covers linear and nonlinear factor models focusing on the importance of tail dependence. The financial crisis, which was an example of an extreme tail event, showed the need for models other than the Gaussian model. We show that, even when controlling for correlation and fat marginal tails among models, the tail dependence has a...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Journal of Credit Risk 
Jahr:
2012 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
47-79 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein