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Título : | Analytical Solutions to Multi-period Credit Portfolio Management A Macroeconomic Approach |
Autor : | Suárez-Lledó Grande, José Licari, Juan Ordóñez, Gustavo |
Fecha de publicación : | 3 |
Resumen : | In this paper we develop a quantitative framework that allows us to calculate portfolio credit risk metrics analytically under multi-period and multi-credit-state environments. Of particular interest is the calculation of (intra-period and cumulative) expected and unexpected portfolio losses. These closed-form, exact formulas enable us to perform risk-based pricing, portfolio optimisation, risk-concentration analysis, stress and reverse stress-testing in a very precise and efficient way (without having to wait for days, if not weeks, for Monte Carlo methods to handle a multi-period, multi-credit-state set-up). Our innovative approach hinges on dynamic scenario generation using structural macroeconomic models. These forward-looking simulations are then linked to credit and market risk parameters, providing an opportunity to leverage the current wave of investment and developments around stress-testing methods. Moreover, the use of general equilibrium, stochastic macro models to build the scenarios gives us the ability to integrate default and mark-to-market risks under a single, unified multi-period framework.
https://www.moodysanalytics.com/-/media/article/2015/2015-21-07-moodys-analytics-risk-perspective-risk-data-management.pdf In this paper we develop a quantitative framework that allows us to calculate portfolio credit risk metrics analytically under multi-period and multi-credit-state environments. Of particular interest is the calculation of (intra-period and cumulative) expected and unexpected portfolio losses. These closed-form, exact formulas enable us to perform risk-based pricing, portfolio optimisation, risk-concentration analysis, stress and reverse stress-testing in a very precise and efficient way (without having to wait for days, if not weeks, for Monte Carlo methods to handle a multi-period, multi-credit-state set-up). Our innovative approach hinges on dynamic scenario generation using structural macroeconomic models. These forward-looking simulations are then linked to credit and market risk parameters, providing an opportunity to leverage the current wave of investment and developments around stress-testing methods. Moreover, the use of general equilibrium, stochastic macro models to build the scenarios gives us the ability to integrate default and mark-to-market risks under a single, unified multi-period framework. https://www.moodysanalytics.com/-/media/article/2015/2015-21-07-moodys-analytics-risk-perspective-risk-data-management.pdf |
Descripción : | Revista electrónica |
URI : | http://hdl.handle.net/11531/25935 |
Aparece en las colecciones: | Artículos |
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Fichero | Descripción | Tamaño | Formato | |
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Analytical Solutions to Multi-period Credit Portfolio Management A Macroeconomic Approach v04.pdf | 450,72 kB | Adobe PDF | Visualizar/Abrir Request a copy |
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