Credit Risk : Worst Case Scenarios of

  • Homogenic Swap
  • Published 1999

Abstract

The rst objective of this paper is to apply the model of Barth (1999) to the numerical generation of credit loss distributions of a portfolio consisting entirely of interest rate swaps. The di erent possibilities for modelling the response function, which gives the impact of a interest rate change onto the credit default probability, is the main subject of this investigation. The second objective is the discussion of several measures for the risk-based capital, needed to back the portfolio. The focus is on the suitablility of these measures to an analysis of worst case scenarios. While two measures for the risk-based capital are based on percentiles, the third measure is a coherent measure. These measures are applied to the analysis of the data generated by the model in regard to the modelling of the response function.

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Cite this paper

@inproceedings{Swap1999CreditR, title={Credit Risk : Worst Case Scenarios of}, author={Homogenic Swap}, year={1999} }