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雷达卡
英文标题：
《Concurrent Credit Portfolio Losses》
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作者：
Joachim Sicking, Thomas Guhr and Rudi Sch\\\"afer
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最新提交年份：
2017
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英文摘要：
We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas. Instead of a Gaussian dependence, we typically find a strong asymmetry in the copulas. Concurrent large portfolio losses are much more likely than small ones. Studying the dependences of these losses as a function of portfolio size, we moreover reveal that not only large portfolios of thousands of contracts, but also medium-sized and small ones with only a few dozens of contracts exhibit notable portfolio loss correlations. Anticipated idiosyncratic effects turn out to be negligible. These are troublesome insights not only for investors in structured fixed-income products, but particularly for the stability of the financial sector.
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中文摘要：
我们考虑两个非重叠信贷组合中的同时投资组合损失问题。为了探索这类投资组合损失的完全统计依赖结构，我们估计了它们的经验成对copula。我们通常会在连接函数中发现强烈的不对称性，而不是高斯依赖性。同时发生的大型投资组合损失比小型投资组合损失的可能性要大得多。通过研究这些损失与投资组合规模的函数关系，我们还发现，不仅数千份合同的大型投资组合，而且只有几十份合同的中小型投资组合都表现出显著的投资组合损失相关性。预期的特质效应被证明是微不足道的。这些见解不仅对结构性固定收益产品的投资者来说，而且对金融部门的稳定性来说，都是令人烦恼的。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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