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Risikomaßzahlen für Kreditportfoliotranchen

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  • Daniel Tillich

Abstract

There is a multitude of measures to evaluate the tranches of a structured credit portfolio. One problem is that for each concept there exists a variety of different terms. Furthermore, some of these terms are used for different measures. For this reason, this paper aims to catalog the terms used and to define a term that is appropriate and unique. Additionally, characteristic properties for each measure are collected. It turns out that in principle two of the considered measures suffice to evaluate the tranches of a portfolio. Copyright Springer 2011

Suggested Citation

  • Daniel Tillich, 2011. "Risikomaßzahlen für Kreditportfoliotranchen," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 5(1), pages 59-76, March.
    • Handle: RePEc:spr:astaws:v:5:y:2011:i:1:p:59-76
    DOI: 10.1007/s11943-011-0095-1
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    References listed on IDEAS

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    1. Jean-Paul Laurent & Jon Gregory, 2005. "Basket default swaps, CDOs and factor copulas," Post-Print hal-03679517, HAL.
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    Cited by:

    1. Hans Brachinger, 2011. "Vorwort des Herausgebers," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 4(4), pages 249-251, January.

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    More about this item

    Keywords

    Risikomessung; Kreditportfolio; Tranche; G32; G24; G13; Risk; Measurement; Tranche; Credit portfolio;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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