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Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models

We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis....

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Main Author: Azamighaimasi, Arsalan
Format: Article
Language:English
Published: Universiti Utara Malaysia 2012
Subjects:
HG Finance
Online Access:http://repo.uum.edu.my/25012/1/IJBF%209%203%202012%201%2014.pdf
http://repo.uum.edu.my/25012/
http://ijbf.uum.edu.my/index.php/previous-issues/147-the-international-journal-of-banking-and-finance-ijbf-vol-9-no-3-september-2012
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spelling my.uum.repo.250122018-10-25T00:28:24Z http://repo.uum.edu.my/25012/ Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models Azamighaimasi, Arsalan HG Finance We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis. We review the two models with emphasis on the joint default probability. The copula function describes the dependence structure of a multivariate random variable. In this paper, it is used as a practical to simulation of generate portfolio with different copula, we only use Gaussian and t-copula case. And we generate portfolio default distributions and study the sensitivity of commonly used risk measures with respect to the approach in modeling the dependence structure of the portfolio. Universiti Utara Malaysia 2012 Article PeerReviewed application/pdf en http://repo.uum.edu.my/25012/1/IJBF%209%203%202012%201%2014.pdf Azamighaimasi, Arsalan (2012) Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models. The International Journal of Banking and Finance, 9 (3). pp. 1-14. ISSN 1617-722 http://ijbf.uum.edu.my/index.php/previous-issues/147-the-international-journal-of-banking-and-finance-ijbf-vol-9-no-3-september-2012
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic HG Finance
spellingShingle HG Finance
Azamighaimasi, Arsalan
Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models
description We consider portfolio credit risk modeling with a focus on two approaches, the factor model, and the copula model. While other models have received greater scrutiny, both factor and cupola models have received little attention although these are appropriate for rating-based portfolio risk analysis. We review the two models with emphasis on the joint default probability. The copula function describes the dependence structure of a multivariate random variable. In this paper, it is used as a practical to simulation of generate portfolio with different copula, we only use Gaussian and t-copula case. And we generate portfolio default distributions and study the sensitivity of commonly used risk measures with respect to the approach in modeling the dependence structure of the portfolio.
format Article
author Azamighaimasi, Arsalan
author_facet Azamighaimasi, Arsalan
author_sort Azamighaimasi, Arsalan
title Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models
title_short Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models
title_full Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models
title_fullStr Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models
title_full_unstemmed Portfolio Risk and Dependence Modeling: Application of Factor and Copula Models
title_sort portfolio risk and dependence modeling: application of factor and copula models
publisher Universiti Utara Malaysia
publishDate 2012
url http://repo.uum.edu.my/25012/1/IJBF%209%203%202012%201%2014.pdf
http://repo.uum.edu.my/25012/
http://ijbf.uum.edu.my/index.php/previous-issues/147-the-international-journal-of-banking-and-finance-ijbf-vol-9-no-3-september-2012
_version_ 1644284200935751680
score 13.211869

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