Benchmarking collateral of triple-a rated securities
This paper presents a simple method to estimate the collateral associated with a Aaa tranche. The method is similar to historical simulation in the sense that there are no specific distributional assumptions, and the data fully determine the characteristics of the distribution. Both the transparency...
- Autores:
-
Sarmiento, Camilo
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2020
- Institución:
- Escuela Colombiana de Ingeniería Julio Garavito
- Repositorio:
- Repositorio Institucional ECI
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.escuelaing.edu.co:001/2501
- Acceso en línea:
- https://repositorio.escuelaing.edu.co/handle/001/2501
https://repositorio.escuelaing.edu.co
- Palabra clave:
- Distribución
Colateral
Métodos de distribución
Distribution
Collateral
Distribution methods
Non-parametric estimator
probabilities of default distribution
collateral
tail of the distribution
- Rights
- closedAccess
- License
- http://purl.org/coar/access_right/c_14cb
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Benchmarking collateral of triple-a rated securities |
| title |
Benchmarking collateral of triple-a rated securities |
| spellingShingle |
Benchmarking collateral of triple-a rated securities Distribución Colateral Métodos de distribución Distribution Collateral Distribution methods Non-parametric estimator probabilities of default distribution collateral tail of the distribution |
| title_short |
Benchmarking collateral of triple-a rated securities |
| title_full |
Benchmarking collateral of triple-a rated securities |
| title_fullStr |
Benchmarking collateral of triple-a rated securities |
| title_full_unstemmed |
Benchmarking collateral of triple-a rated securities |
| title_sort |
Benchmarking collateral of triple-a rated securities |
| dc.creator.fl_str_mv |
Sarmiento, Camilo |
| dc.contributor.author.none.fl_str_mv |
Sarmiento, Camilo |
| dc.contributor.researchgroup.spa.fl_str_mv |
Centro de estudios económicos |
| dc.subject.armarc.spa.fl_str_mv |
Distribución Colateral Métodos de distribución |
| topic |
Distribución Colateral Métodos de distribución Distribution Collateral Distribution methods Non-parametric estimator probabilities of default distribution collateral tail of the distribution |
| dc.subject.armarc.eng.fl_str_mv |
Distribution Collateral Distribution methods |
| dc.subject.proposal.eng.fl_str_mv |
Non-parametric estimator probabilities of default distribution collateral tail of the distribution |
| description |
This paper presents a simple method to estimate the collateral associated with a Aaa tranche. The method is similar to historical simulation in the sense that there are no specific distributional assumptions, and the data fully determine the characteristics of the distribution. Both the transparency and simplicity of our method provide a valuable benchmark to existent tail of the distribution modelling. As a benchmark, our method also serves to validate collateral estimates for Aaa-rated securities as well as to validate capitalization models of financial institutions. |
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2020 |
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2020 |
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2023-07-21T16:45:58Z |
| dc.date.available.none.fl_str_mv |
2023-07-21T16:45:58Z |
| dc.type.spa.fl_str_mv |
Artículo de revista |
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http://purl.org/coar/resource_type/c_2df8fbb1 |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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info:eu-repo/semantics/publishedVersion |
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http://purl.org/coar/resource_type/c_6501 |
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Text |
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info:eu-repo/semantics/article |
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http://purl.org/coar/resource_type/c_6501 |
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1350-4851 |
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https://repositorio.escuelaing.edu.co/handle/001/2501 |
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1466-4291 |
| dc.identifier.instname.spa.fl_str_mv |
Escuela Colombiana de Ingeniería Julio Garavito |
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Repositorio digital |
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https://repositorio.escuelaing.edu.co |
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1350-4851 1466-4291 Escuela Colombiana de Ingeniería Julio Garavito Repositorio digital |
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https://repositorio.escuelaing.edu.co/handle/001/2501 https://repositorio.escuelaing.edu.co |
| dc.language.iso.eng.fl_str_mv |
eng |
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eng |
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558 |
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7 |
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555 |
| dc.relation.citationvolume.spa.fl_str_mv |
27 |
| dc.relation.indexed.spa.fl_str_mv |
N/A |
| dc.relation.ispartofjournal.eng.fl_str_mv |
Applied Economics Letters |
| dc.relation.references.eng.fl_str_mv |
Agarwal, V., and R. Taffler. 2008. “Comparing the Performance of Market-Based and Accounting-Based Bankruptcy Prediction Models.” Journal of Banking & Finance 32 (8): 1541–1551. doi:10.1016/j.jbankfin.2007.07.014 Benmelech, E., and J. Dlugosz (2008) “The Alchemy of CDO Credit Ratings.” Harvard University Working paper Bharath, S., and T. Shumway. 2007. “Forecasting Default with the Merton Distance to Default Model.” Review of Financial Studies 21: 1339–1369. Board of Governors of the Federal Reserve System. 2014. “Supervisory Guidance for Data, Modeling, and Model Risk Management under the Operational Risk Advanced Measurement Approaches.” Basel Coordination Committee Bulletin 14. Hendricks, D. 1996. “Evaluating Value-at-Risk Models Using Historical Data.” Frbny Economic Policy Review 2 /april 1996. Hull, J., and A. White. 1998. “Incorporating Volatility Updating into the Historical Simulation Method for VAR.” Journal of Risk 1: 5–19. doi:10.21314/JOR.1998.001. Lopez, J., and M. Saidenberg. 2000. “Evaluating Credit Risk Models.” Journal of Banking & Finance 24: 151–165. doi:10.1016/S0378-4266(99)00055-2. |
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5 páginas |
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application/pdf |
| dc.publisher.place.eng.fl_str_mv |
Washington D.C. |
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Applied Economics Letters |
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Sarmiento, Camiloa48a67bcfacaaa8d4773d8fd3f6d85acCentro de estudios económicos2023-07-21T16:45:58Z2023-07-21T16:45:58Z20201350-4851https://repositorio.escuelaing.edu.co/handle/001/25011466-4291Escuela Colombiana de Ingeniería Julio GaravitoRepositorio digitalhttps://repositorio.escuelaing.edu.coThis paper presents a simple method to estimate the collateral associated with a Aaa tranche. The method is similar to historical simulation in the sense that there are no specific distributional assumptions, and the data fully determine the characteristics of the distribution. Both the transparency and simplicity of our method provide a valuable benchmark to existent tail of the distribution modelling. As a benchmark, our method also serves to validate collateral estimates for Aaa-rated securities as well as to validate capitalization models of financial institutions.Este artículo presenta un método simple para estimar la garantía asociada con un tramo Aaa. El método es similar a la simulación histórica en el sentido de que no hay distribuciones específicas supuestos, y los datos determinan completamente las características de la distribución. Ambos La transparencia y la simplicidad de nuestro método proporcionan un punto de referencia valioso para la cola existente del modelado de distribución. Como punto de referencia, nuestro método también sirve para validar estimaciones de garantías para títulos calificados Aaa así como para validar modelos de capitalización de entidades financieras.5 páginasapplication/pdfengApplied Economics LettersBenchmarking collateral of triple-a rated securitiesArtículo de revistainfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Textinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85Washington D.C.558755527N/AApplied Economics LettersAgarwal, V., and R. Taffler. 2008. “Comparing the Performance of Market-Based and Accounting-Based Bankruptcy Prediction Models.” Journal of Banking & Finance 32 (8): 1541–1551. doi:10.1016/j.jbankfin.2007.07.014Benmelech, E., and J. Dlugosz (2008) “The Alchemy of CDO Credit Ratings.” Harvard University Working paperBharath, S., and T. Shumway. 2007. “Forecasting Default with the Merton Distance to Default Model.” Review of Financial Studies 21: 1339–1369.Board of Governors of the Federal Reserve System. 2014. “Supervisory Guidance for Data, Modeling, and Model Risk Management under the Operational Risk Advanced Measurement Approaches.” Basel Coordination Committee Bulletin 14.Hendricks, D. 1996. “Evaluating Value-at-Risk Models Using Historical Data.” Frbny Economic Policy Review 2 /april 1996.Hull, J., and A. White. 1998. “Incorporating Volatility Updating into the Historical Simulation Method for VAR.” Journal of Risk 1: 5–19. doi:10.21314/JOR.1998.001.Lopez, J., and M. Saidenberg. 2000. “Evaluating Credit Risk Models.” Journal of Banking & Finance 24: 151–165. doi:10.1016/S0378-4266(99)00055-2.info:eu-repo/semantics/closedAccesshttp://purl.org/coar/access_right/c_14cbDistribuciónColateralMétodos de distribuciónDistributionCollateralDistribution methodsNon-parametric estimatorprobabilities of default distributioncollateraltail of the distributionTEXTBenchmarking collateral of triple-a rated securities.pdf.txtBenchmarking collateral of triple-a rated securities.pdf.txtExtracted texttext/plain14672https://repositorio.escuelaing.edu.co/bitstream/001/2501/5/Benchmarking%20collateral%20of%20triple-a%20rated%20securities.pdf.txt44eb7a7cc9ab353d97f1efce570e1cfdMD55metadata only accessTHUMBNAILBenchmarking collateral of triple-a rated securities.JPGBenchmarking collateral of triple-a rated securities.JPGimage/jpeg70539https://repositorio.escuelaing.edu.co/bitstream/001/2501/4/Benchmarking%20collateral%20of%20triple-a%20rated%20securities.JPG074783965ffe0dd782d45480132f6273MD54open accessBenchmarking collateral of triple-a rated securities.pdf.jpgBenchmarking collateral of triple-a rated securities.pdf.jpgGenerated Thumbnailimage/jpeg8607https://repositorio.escuelaing.edu.co/bitstream/001/2501/6/Benchmarking%20collateral%20of%20triple-a%20rated%20securities.pdf.jpgfd3bbb7a1bc53f733b4837fc62d5e92bMD56metadata only accessLICENSElicense.txtlicense.txttext/plain; charset=utf-81881https://repositorio.escuelaing.edu.co/bitstream/001/2501/2/license.txt5a7ca94c2e5326ee169f979d71d0f06eMD52open accessORIGINALBenchmarking collateral of triple-a rated securities.pdfBenchmarking collateral of triple-a rated securities.pdfArtículo de revistaapplication/pdf659206https://repositorio.escuelaing.edu.co/bitstream/001/2501/1/Benchmarking%20collateral%20of%20triple-a%20rated%20securities.pdf10cf1ff0192a68785d2bfe7f4427337fMD51metadata only access001/2501oai:repositorio.escuelaing.edu.co:001/25012024-07-25 15:11:07.01metadata only accessRepositorio Escuela Colombiana de Ingeniería Julio Garavitorepositorio.eci@escuelaing.edu.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 |