Credit portfolios:: What defines risk horizons and risk measurement?

被引：6

作者：

Ebnoether, Silvan ^{[1
,2
]}

Vanini, Paolo ^{[1
,3
]}

机构：

[1] Zurcher Kantonalbank, CH-8005 Zurich, Switzerland

[2] Univ So Switzerland, CH-6900 Lugano, Switzerland

[3] Univ Zurich, Swiss Banking Inst, CH-8032 Zurich, Switzerland

来源：

JOURNAL OF BANKING & FINANCE | 2007年 / 31卷 / 12期

关键词：

credit-risk management; portfolio management; risk measurement; coherence; VaR; expected shortfall; factor model;

D O I：

10.1016/j.jbankfin.2007.01.022

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The strong autocorrelation between economic cycles demands that we analyze credit portfolio risk in a multiperiod setup. We embed a standard one-factor model in such a setup. We discuss the calibration of the model to Standard & Poor's ratings data in detail. But because single-period risk measures cannot capture the cumulative effects of systematic shocks over several periods, we define an alternative risk measure, which we call the time-conditional expected shortfall (TES), to quantify credit portfolio risk over a multiperiod horizon. (C) 2007 Published by Elsevier B.V.

引用

页码：3663 / 3679

页数：17

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