Una propuesta de Creditmetrics y Expected Shortfall para medición de riesgo crediticio
This paper presents a simple method to quantify credit risk. The idea is to combine the CreditMetrics methodology with the Expected Shortfall risk measure. We apply this method for a stand-alone bond and a portfoMetrics is based on VAR rik measure. We apply this method for a stand-alone bond and a p...
- Autores:
-
Mora Valencia, Andrés
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2010
- Institución:
- Universidad Sergio Arboleda
- Repositorio:
- Repositorio U. Sergio Arboleda
- Idioma:
- spa
- OAI Identifier:
- oai:repository.usergioarboleda.edu.co:11232/655
- Acceso en línea:
- http://hdl.handle.net/11232/655
- Palabra clave:
- Riesgo crediticio - Mediciones - Metodología
Riesgo (Finanzas) - Mediciones - Metodología
Portafolio de prestamos
Medición de riesgo crediticio - Modelo
Volatilidad
Creditmetrics
Expected Shortfall
VAR
- Rights
- License
- Atribución-NoComercial-SinDerivadas 2.5 Colombia (CC BY-NC-ND 2.5 CO)
| Summary: | This paper presents a simple method to quantify credit risk. The idea is to combine the CreditMetrics methodology with the Expected Shortfall risk measure. We apply this method for a stand-alone bond and a portfoMetrics is based on VAR rik measure. We apply this method for a stand-alone bond and a portfolio of two bonds. Due to the fact that CreditMetrics is based on VAR risk measure and this measure is no coherent, it is proposed the use of a coherent risk measure. Expected Shortfall solves the problem of non-subadditivity property of VAR but by definition Expected Shortfall is in general greater than VAR. |
|---|