Credit Risk Measurement Using VaR Methodology

Katarina Valaskova, Anna Siekelova and Ivana Weissova
Additional contact information
Anna Siekelova: University of Zilina
Ivana Weissova: University of Zilina

Chapter Chapter 21 in Advances in Applied Economic Research, 2017, pp 289-302 from Springer

Abstract: Abstract The risk reflects the uncertainty associated with expected returns. Credit risk causes that the issuer of an obligation may not be able to repay its debt and interests. It expresses credibility, reliability, and ability of securities issuers to get their liabilities. A measurement of credit risk is most often the assessment of specialized agencies that give a specific rating to every company. Potential failures or changes in reliability (rating) of the debtor, of counterparties in transactions with derivatives, and bond issuers cause formation and growth of credit risk which uses value at risk as a basic risk measurement. The contribution defines the specific methodology of credit risk measuring—value at risk, its theoretical knowledge and variants, as well as methods of value at risk calculation. Value at risk is considered to be the most modern type of a risk measure. An example is depicted in the last part of the contribution to illustrate and explain the methodology of value at risk calculation in practice.

Keywords: Credit risk; VAR (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:prbchp:978-3-319-48454-9_21

Ordering information: This item can be ordered from
http://www.springer.com/9783319484549

DOI: 10.1007/978-3-319-48454-9_21

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().