Provisions and Economic Capital for Credit Losses

Dorinel Bastide and St\'ephane Cr\'epey
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Dorinel Bastide: LaMME
St\'ephane Cr\'epey: LPSM

Papers from arXiv.org

Abstract: Based on supermodularity ordering properties, we show that convex risk measures of credit losses are nondecreasing w.r.t. credit-credit and, in a wrong-way risk setup, credit-market, covariances of elliptically distributed latent factors. These results support the use of such setups for computing credit provisions and economic capital or for conducting stress test exercises and risk management analysis.

Date: 2024-01, Revised 2024-12
New Economics Papers: this item is included in nep-ban, nep-ifn and nep-rmg
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