Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors

DOI10.1016/J.JEDC.2014.02.008MaRDI QIDQ1994418zbMATH OpenOpenAlexFDO

Authors Yongwoong Lee, Ser-Huang Poon

Publication date 1 November 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2014.02.008

zbMATH Keywords

conditional value-at-riskdefault probabilityEuler capital allocationHoeffding decompositionrisk contribution

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

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Cites work

• A new distribution-free quantile estimator
• A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
• Analytical methods for hedging systematic credit risk with linear factor portfolios
• Default risks, interest rate spreads, and business cycles: Explaining the interest rate spread as a leading indicator
• Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults
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• Modeling frailty-correlated defaults using many macroeconomic covariates
• Recent developments in consumer credit risk assessment
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