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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/121447

Please use this identifier to cite or link to this item: https://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 link:	https://doi.org/10.1016/j.pacfin.2018.08.001
DOI:	10.1016/j.pacfin.2018.08.001
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

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