Portfolio Risk and Dependence Modeling

Arsalan Azamighaimasi

International Journal of Financial Research, 2013, vol. 4, issue 1, 151-158

Abstract: This paper has considered portfolio credit risk with a focus on two approaches, the factor model, and copula model. We have reviewed two models with emphasis on the joint default probably. The copula function describes the dependence structure of a multivariate random variable, in this paper, it used as a practical to simulation of generate portfolio with different copula, and we only used Gaussian and t¨Ccopula case. We generated portfolio default distributions and studied the sensitivity of commonly used risk measures with respect to the approach in modeling the dependence structure of the portfolio.

Keywords: Gaussian copula; Factor model; Copula model (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:4:y:2013:i:1:p:151-158

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