نتائج البحث - "portfolio credit risk"

1

Report

Latent fragility: Conditioning banks' joint probability of default on the financial cycle

المؤلفون: Bochmann, Paul, Hiebert, Paul, Schüler, Yves, Segoviano, Miguel

مصطلحات موضوعية: ddc:330, C19, C54, E58, G01, G21, Systemic Risk, Financial Crises, Portfolio Credit Risk, Multivariate DensityOptimization, Financial Cycle

Relation: Series: ECB Working Paper; No. 2698; urn:isbn:978-92-899-5283-5; gbv-ppn:1813980853; http://hdl.handle.net/10419/269105; RePEc:ecb:ecbwps:20222698

الاتاحة: http://hdl.handle.net/10419/269105
https://doi.org/10.2866/973928

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2

Report

When uncertainty decouples expected and unexpected losses

المؤلفون: Juselius, Mikael, Tarashev, Nikola A.

مصطلحات موضوعية: ddc:330, G21, G28, G32, Expected loss provisioning, Bank capital, Unexpected losses, Credit cycles, Portfolio credit risk

Relation: Series: Bank of Finland Research Discussion Papers; No. 4/2022; urn:isbn:978-952-323-399-7; gbv-ppn:1789255554; URN:NBN:fi:bof-202201261037; http://hdl.handle.net/10419/249600; RePEc:zbw:bofrdp:rdp2022_004

الاتاحة: http://hdl.handle.net/10419/249600

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3

Book

'Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio'

المؤلفون: Di Clemente, Annalisa

المساهمون: Di Clemente, Annalisa

مصطلحات موضوعية: portfolio credit risk, asset correlation, coherent capital allocation, copula function, default correlation

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-93-92117-19-0; ispartofbook:Business and Economy. Recent Updates. 2nd Edition; firstpage:1; lastpage:24; numberofpages:24; https://hdl.handle.net/11573/1684033

الاتاحة: https://hdl.handle.net/11573/1684033
https://doi.org/10.37247/BERUE2D.2.23.3

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4

Academic Journal

Modeling portfolio credit risk taking into account the default correlations using a copula approach: Implementation to an Italian loan portfolio

المؤلفون: Di Clemente, Annalisa

مصطلحات موضوعية: ddc:330, portfolio credit risk, asset correlation, coherent capital allocation, copula function, Monte Carlo simulation, time until default

Relation: gbv-ppn:1738417182; Journal: Journal of Risk and Financial Management; Volume: 13; Year: 2020; Issue: 6; Pages: 1-23; Basel: MDPI; http://hdl.handle.net/10419/239217

الاتاحة: http://hdl.handle.net/10419/239217
https://doi.org/10.3390/jrfm13060129

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5

Academic Journal

Risk endogeneity at the lender/investor-of-last-resort

المؤلفون: Caballero, Diego, Lucas, André, Schwaab, Bernd, Zhang, Xin

المصدر: Caballero , D , Lucas , A , Schwaab , B & Zhang , X 2020 , ' Risk endogeneity at the lender/investor-of-last-resort ' , Journal of Monetary Economics , vol. 116 , pp. 283-297 . https://doi.org/10.1016/j.jmoneco.2019.11.003

مصطلحات موضوعية: Central bank communication, Lender-of-last-resort, Longer-term operational framework, Portfolio credit risk, Unconventional monetary policy, /dk/atira/pure/sustainabledevelopmentgoals/reduced_inequalities, name=SDG 10 - Reduced Inequalities, /dk/atira/pure/sustainabledevelopmentgoals/partnerships, name=SDG 17 - Partnerships for the Goals

وصف الملف: application/pdf

الاتاحة: https://research.vu.nl/en/publications/ab12751d-1c19-4ea6-afd3-5953e919dd87
https://doi.org/10.1016/j.jmoneco.2019.11.003
https://hdl.handle.net/1871.1/ab12751d-1c19-4ea6-afd3-5953e919dd87
https://research.vu.nl/ws/files/123512840/Risk_endogeneity_at_the_lender_investor_of_last_resort.pdf
http://www.scopus.com/inward/record.url?scp=85076227365&partnerID=8YFLogxK
http://www.scopus.com/inward/citedby.url?scp=85076227365&partnerID=8YFLogxK

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6

Academic Journal

Importance Sampling in the Presence of PD-LGD Correlation

المؤلفون: Adam Metzler, Alexandre Scott

المصدر: Risks; Volume 8; Issue 1; Pages: 25

مصطلحات موضوعية: importance sampling, acceptance-rejection sampling, portfolio credit risk, tail probabilities, large deviation probabilities, stochastic recovery, PD-LGD correlation, credit risk, loss probabilities

وصف الملف: application/pdf

Relation: https://dx.doi.org/10.3390/risks8010025

الاتاحة: https://doi.org/10.3390/risks8010025

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7

Academic Journal

Meta-model of a large credit risk portfolio in the Gaussian copula model

المؤلفون: Bourgey, Florian, Gobet, Emmanuel, Rey, Clément

المساهمون: Centre de Mathématiques Appliquées de l'Ecole polytechnique (CMAP), Institut National de Recherche en Informatique et en Automatique (Inria)-École polytechnique (X), Institut Polytechnique de Paris (IP Paris)-Institut Polytechnique de Paris (IP Paris)-Centre National de la Recherche Scientifique (CNRS), This research benefited from the support of the Chair Stress Test, RISK Management and Financial Steering, led by the French Ecole polytechnique and its Foundation and sponsored by BNP Paribas., Chaire Stress Test - BNP Paribas/Ecole polytechnique/Fondation de l'X

المصدر: EISSN: 1945-497X ; SIAM Journal on Financial Mathematics ; https://hal.science/hal-02291548 ; SIAM Journal on Financial Mathematics, 2020, 11 (4), pp.1098-1136. ⟨10.1137/19M1292084⟩

مصطلحات موضوعية: Monte Carlo simulation, portfolio credit risk, polynomial chaos expansion, meta-model, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]

الاتاحة: https://hal.science/hal-02291548
https://hal.science/hal-02291548v2/document
https://hal.science/hal-02291548v2/file/chaos_decomposition_HAL_version_2_submission.pdf
https://doi.org/10.1137/19M1292084

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8

Implications of macroeconomic conditions on Romanian portfolio credit risk. A cost-sensitive ensemble learning methods comparison

المؤلفون: Alexandra Fratila, Ana-Maria Săndică

المصدر: Ekonomska Istraživanja, Vol 0, Iss 0, Pp 1-20 (2021)
Economic research-Ekonomska istraživanja
Volume 35
Issue 1

وصف الملف: application/pdf

URL الوصول: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::be4854ca15dfafcf3be9f430da55bcff
https://doaj.org/article/9e79b3fcb02941e1b70d124658772b7b

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9

Academic Journal

Extreme portfolio loss correlations in credit risk

المؤلفون: Mühlbacher, Andreas, Guhr, Thomas

مصطلحات موضوعية: ddc:330, portfolio credit risk, systemic risk, diversification, portfolio loss correlation, collateralized debt obligations, non-stationarity

Relation: gbv-ppn:1029388342; Journal: Risks; Volume: 6; Year: 2018; Issue: 3; Pages: 1-25; Basel: MDPI; http://hdl.handle.net/10419/195864

الاتاحة: http://hdl.handle.net/10419/195864
https://doi.org/10.3390/risks6030072

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10

Report

Meta-model of a large credit risk portfolio in the Gaussian copula model

المؤلفون: Bourgey, Florian, GOBET, Emmanuel, Rey, Clément

المساهمون: Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP), École polytechnique (X)-Centre National de la Recherche Scientifique (CNRS), This research benefited from the support of the Chair Stress Test, RISK Management and Financial Steering, led by the French Ecole polytechnique and its Foundation and sponsored by BNP Paribas.

المصدر: https://hal.archives-ouvertes.fr/hal-02291548 ; 2019.

مصطلحات موضوعية: Monte Carlo simulation, portfolio credit risk, polynomial chaos expansion, meta-model, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [QFIN.RM]Quantitative Finance [q-fin]/Risk Management [q-fin.RM]