A copula-based approach to portfolio credit risk modeling

Yaroslav Bologov ()
Additional contact information
Yaroslav Bologov: Moscow State University

Applied Econometrics, 2013, vol. 29, issue 1, 45-66

Abstract: Considering correlations between entries of credit portfolio is an important objective when estimating credit risk. This paper aims to construct a multivariate model of credit losses examining a portfolio composed of loans to a set of kinds of business. The paper also introduces the method of credit risk calculation via copulas, gamma distribution and kernel estimates. Empirical application of the introduced method is realized by using a historical loss data provided by one of the Moscow credit banks.

Keywords: credit risk; credit bank; multivariate modeling; copula; extreme value theory; kernel smoothing (search for similar items in EconPapers)
JEL-codes: G17 G21 G32 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://pe.cemi.rssi.ru/pe_2013_1_45-66.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0202

Access Statistics for this article

Applied Econometrics is currently edited by Anatoly Peresetsky

More articles in Applied Econometrics from Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Bibliographic data for series maintained by Anatoly Peresetsky ().