《Extreme portfolio loss correlations in credit risk》
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作者:
Andreas M\\\"uhlbacher and Thomas Guhr
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最新提交年份:
2017
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英文摘要:
The stability of the financial system is associated with systemic risk factors such as the concurrent default of numerous small obligors. Hence it is of utmost importance to study the mutual dependence of losses for different creditors in the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of several credit portfolios on a non-stationary market. To take fluctuating asset correlations into account we use an random matrix approach which preserves, as a much appreciated side effect, analytical tractability and drastically reduces the number of parameters. We show that for two disjoint credit portfolios diversification does not work in a correlated market. Additionally we find large concurrent portfolio losses to be rather likely. We show that significant correlations of the losses emerge not only for large portfolios with thousands of credit contracts but also for small portfolios consisting of a few credit contracts only. Furthermore we include subordination levels, which were established in collateralized debt obligations to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss of the subordinated creditor is likely to also yield a large loss of the senior creditor.
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中文摘要:
金融体系的稳定性与系统性风险因素有关,如众多小债务人的同时违约。因此,在大型重叠信贷组合的情况下,研究不同债权人损失的相互依赖性至关重要。我们分析计算了非平稳市场上多个信贷组合的多变量联合损失分布。为了将波动的资产相关性考虑在内,我们使用了一种随机矩阵方法,作为一种备受赞赏的副作用,该方法保留了分析的可处理性,并大大减少了参数的数量。我们表明,对于两个不相交的信贷组合,多元化在相关市场中不起作用。此外,我们发现,大规模的同时投资组合损失是相当有可能的。我们表明,损失的显著相关性不仅出现在具有数千份信用合同的大型投资组合中,而且也出现在仅包含少数信用合同的小型投资组合中。此外,我们还包括从属级别,这是在债务抵押债券中建立的,以保护更高级的部分免受高损失。我们通过分析证实了以下观点:次级债权人的极端损失也可能导致高级债权人的巨大损失。
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Risk Management 风险管理
分类描述:Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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