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Accuracy and convergence of the Asym...
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Houser, Madelyn R.
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Accuracy and convergence of the Asymptotic Single Risk Factor formula in a large credit portfolio.
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
Accuracy and convergence of the Asymptotic Single Risk Factor formula in a large credit portfolio./
作者:
Houser, Madelyn R.
出版者:
Ann Arbor : ProQuest Dissertations & Theses, : 2016,
面頁冊數:
59 p.
附註:
Source: Masters Abstracts International, Volume: 56-02.
Contained By:
Masters Abstracts International56-02(E).
標題:
Mathematics. -
電子資源:
http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10190875
ISBN:
9781369353402
Accuracy and convergence of the Asymptotic Single Risk Factor formula in a large credit portfolio.
Houser, Madelyn R.
Accuracy and convergence of the Asymptotic Single Risk Factor formula in a large credit portfolio.
- Ann Arbor : ProQuest Dissertations & Theses, 2016 - 59 p.
Source: Masters Abstracts International, Volume: 56-02.
Thesis (M.S.)--University of Delaware, 2016.
According to international banking standards, all financial institutions must classify the risks associated with the credit portfolios they hold. Mathematical approximations of default distributions are among the most common ways of assessing such risk. Understanding the errors of these approximations is crucial for generating reliable credit portfolio default risk calculations. We consider the error associated with Vasicek's Asymptotic Single Risk Factor model for the cumulative distribution of losses in a portfolio of N companies. We analytically and numerically verify the scaling of the error to be O(N--1), scaling as the reciprocal of the number of companies. Our results provide insight into the error associated with one of the most commonly used credit risk models and serve as a model for future work in examining the errors of more complex, hierarchical structural models.
ISBN: 9781369353402Subjects--Topical Terms:
515831
Mathematics.
Accuracy and convergence of the Asymptotic Single Risk Factor formula in a large credit portfolio.
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According to international banking standards, all financial institutions must classify the risks associated with the credit portfolios they hold. Mathematical approximations of default distributions are among the most common ways of assessing such risk. Understanding the errors of these approximations is crucial for generating reliable credit portfolio default risk calculations. We consider the error associated with Vasicek's Asymptotic Single Risk Factor model for the cumulative distribution of losses in a portfolio of N companies. We analytically and numerically verify the scaling of the error to be O(N--1), scaling as the reciprocal of the number of companies. Our results provide insight into the error associated with one of the most commonly used credit risk models and serve as a model for future work in examining the errors of more complex, hierarchical structural models.
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