A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk

Details A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk

2010-06-04

arxiv.org/abs/1006.0863v1

Economy

Quantitative Finance

Risk Management

19 pages, 4 figures

Scientific paper

We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and analyze its properties. We find that the impact of liability risk is ambiguous and depends on the correlation between the continuous aggregate factor and the asset-liability ratio as well as on the default intensity. We also find that systemic jump risk has a significant impact on the upper percentiles of the loss distribution and, therefore, on both the VaR-measure as well as on the expected shortfall.

Affiliated with

Also associated with

No associations

Rating

A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-722814