کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090267 | 1375624 | 2010 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Risk factor contributions in portfolio credit risk models
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Determining contributions to overall portfolio risk is an important topic in risk management. For positions (instruments and sub-portfolios), this problem has been well studied, and a significant theory built, around the calculation of marginal contributions. We consider the problem of determining the contributions to portfolio risk of risk factors. This cannot be addressed through an immediate extension of techniques for position contributions, since the portfolio loss is a nonlinear function of the risk factors. We employ the Hoeffding decomposition of the portfolio loss into a sum of terms depending on the factors. This decomposition restores linearity, but includes terms arising from joint effects of groups of factors. These cross-factor terms provide information to risk managers, since they can be viewed as best hedges of the portfolio loss involving instruments of increasing complexity. We illustrate the technique on multi-factor portfolio credit risk models, where systematic factors represent industries, geographical sectors, etc.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 2, February 2010, Pages 336-349
Journal: Journal of Banking & Finance - Volume 34, Issue 2, February 2010, Pages 336-349
نویسندگان
Dan Rosen, David Saunders,