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VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

Citations

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Cited by:

  1. Kevin Dowd & John Cotter, 2007. "Evaluating the precision of estimators of quantile-based risk measures," Centre for Financial Markets Working Papers 10197/1191, Research Repository, University College Dublin.
  2. So Yeon Chun & Alexander Shapiro & Stan Uryasev, 2012. "Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics," Operations Research, INFORMS, vol. 60(4), pages 739-756, August.
  3. Paraskevi Katsiampa & Paul B. McGuinness & Jean-Philippe Serbera & Kun Zhao, 2022. "The financial and prudential performance of Chinese banks and Fintech lenders in the era of digitalization," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1451-1503, May.
  4. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Sample dependency during unconditional credit capital estimation," Finance Research Letters, Elsevier, vol. 15(C), pages 175-186.
  5. Arturo Cortés Aguilar, 2011. "Estimación del residual de un bono respaldado por hipotecas mediante un modelo de riesgo crédito: una comparación de resultados de la teoría de cópulas y el modelo IRB de Basilea II en datos del mercado hipotecario mexicano," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 50-64.
  6. Björn Häckel, 2010. "Risikoadjustierte Wertbeiträge zur ex ante Entscheidungsunterstützung: Ein axiomatischer Ansatz," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 21(1), pages 81-108, June.
  7. Giesecke, Kay, 2004. "Correlated default with incomplete information," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1521-1545, July.
  8. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
  9. Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
  10. Sandro Merino & Mark Nyfeler, 2004. "Applying importance sampling for estimating coherent credit risk contributions," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 199-207.
  11. Strelnik, Mikhail, 2014. "Approving the ISDWIR Method of Risk Measurement in Making Risk Management Decision || Aprobación del método de medición del riesgo SIIPDR en el manejo de asunción de riesgos," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 17(1), pages 42-59, June.
  12. Chang Cong & Peibiao Zhao, 2018. "Non-Cash Risk Measure on Nonconvex Sets," Mathematics, MDPI, vol. 6(10), pages 1-9, October.
  13. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
  14. Alessandri, Piergiorgio & Drehmann, Mathias, 2010. "An economic capital model integrating credit and interest rate risk in the banking book," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 730-742, April.
  15. Yamai, Yasuhiro & Yoshiba, Toshinao, 2005. "Value-at-risk versus expected shortfall: A practical perspective," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 997-1015, April.
  16. Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
  17. Maria Stefanova, 2012. "Recovery Risiko in der Kreditportfoliomodellierung," Springer Books, Springer, number 978-3-8349-4226-5, January.
  18. Maldonado, Diego & Pazmiño, Mariela, 2008. "Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana [New Management Tool for Credit Risk analysis: An aplication for Financial Institution in Ecuador]," MPRA Paper 17163, University Library of Munich, Germany, revised 30 Dec 2008.
  19. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2015. "Capital cyclicality, conditional coverage and long-term capital assessment," Finance Research Letters, Elsevier, vol. 15(C), pages 246-256.
  20. Imre Kondor & Andras Szepessy & Tunde Ujvarosi, 2003. "Concave risk measures in international capital regulation," Papers cond-mat/0307244, arXiv.org.
  21. Herbertsson, Alexander, 2022. "Saddlepoint approximations for credit portfolios with stochastic recoveries," Working Papers in Economics 823, University of Gothenburg, Department of Economics.
  22. Xuejun Wang & Yi Wu & Wei Wang, 2024. "Nonparametric estimation of expected shortfall for α-mixing financial losses," Computational Statistics, Springer, vol. 39(6), pages 3157-3179, September.
  23. Matteo Burzoni & Cosimo Munari & Ruodu Wang, 2020. "Adjusted Expected Shortfall," Papers 2007.08829, arXiv.org, revised Aug 2021.
  24. Julia S. Mehlitz & Benjamin R. Auer, 2021. "Time‐varying dynamics of expected shortfall in commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 895-925, June.
  25. İsmail Başoğlu & Wolfgang Hörmann & Halis Sak, 2018. "Efficient simulations for a Bernoulli mixture model of portfolio credit risk," Annals of Operations Research, Springer, vol. 260(1), pages 113-128, January.
  26. Babbs, Simon H & Johnson, Andrew E, 1999. "Severe Loss Probabilities in Portfolio Credit Risk Models," MPRA Paper 22929, University Library of Munich, Germany, revised 14 Jan 2004.
  27. Haoyu Chen & Tiantian Mao & Fan Yang, 2024. "Estimation of the adjusted standard‐deviatile for extreme risks," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(2), pages 643-671, June.
  28. Shi, Xiaojun & Tang, Qihe & Yuan, Zhongyi, 2017. "A limit distribution of credit portfolio losses with low default probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 156-167.
  29. Zongwu Cai & Xian Wang, 2013. "Nonparametric Methods for Estimating Conditional VaR and Expected Shortfall," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  30. Vilislav Boutchaktchiev, 2025. "Inferred Loss Rate as a Credit Risk Measure in the Bulgarian Banking System," Mathematics, MDPI, vol. 13(9), pages 1-18, April.
  31. RENGIFO, Erick & ROMBOUTS, Jeroen, 2004. "Dynamic optimal portfolio selection in a VaR framework," LIDAM Discussion Papers CORE 2004057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  32. S. Mori & K. Kitsukawa & M. Hisakado, 2006. "Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios," Papers physics/0603036, arXiv.org, revised Oct 2009.
  33. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
  34. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre & Veilleux, Déry, 2018. "Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 53-71.
  35. Jascha Alexander & Christian Laudag'e & Jorn Sass, 2024. "Risk measures based on target risk profiles," Papers 2409.17676, arXiv.org, revised Apr 2025.
  36. repec:wyi:journl:002095 is not listed on IDEAS
  37. Karma, Otto & Sander, Priit, 2006. "The impact of financial leverage on risk of equity measured by loss-oriented risk measures: An option pricing approach," European Journal of Operational Research, Elsevier, vol. 175(3), pages 1340-1356, December.
  38. Jinyu Zhou & Jigao Yan & Dongya Cheng, 2024. "Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples," Statistical Papers, Springer, vol. 65(6), pages 3357-3394, August.
  39. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002. "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers 02-107/2, Tinbergen Institute.
  40. Jobst, Norbert J. & Mitra, Gautam & Zenios, Stavros A., 2006. "Integrating market and credit risk: A simulation and optimisation perspective," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 717-742, February.
  41. Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
  42. Dirk Tasche, . "Measuring sectoral diversification in an asymptotic multifactor framework," Journal of Credit Risk, Journal of Credit Risk.
  43. Burzoni, Matteo & Munari, Cosimo & Wang, Ruodu, 2022. "Adjusted Expected Shortfall," Journal of Banking & Finance, Elsevier, vol. 134(C).
  44. Liu, Qingfu & Tse, Yiuman, 2017. "Overnight returns of stock indexes: Evidence from ETFs and futures," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 440-451.
  45. Stefano Ciliberti & Imre Kondor & Marc Mezard, 2007. "On the feasibility of portfolio optimization under expected shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 389-396.
  46. Paolo Dai Pra & Wolfgang J. Runggaldier & Elena Sartori & Marco Tolotti, 2007. "Large portfolio losses: A dynamic contagion model," Papers 0704.1348, arXiv.org, revised Mar 2009.
  47. Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
  48. Arnab Chakrabarti & Rituparna Sen, 2023. "Copula Estimation for Nonsynchronous Financial Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 116-149, May.
  49. Dai Pra, Paolo & Tolotti, Marco, 2009. "Heterogeneous credit portfolios and the dynamics of the aggregate losses," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2913-2944, September.
  50. Liu, Qingfu & An, Yunbi, 2014. "Risk contributions of trading and non-trading hours: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 30(C), pages 17-29.
  51. Cai, Zongwu & Wang, Xian, 2008. "Nonparametric estimation of conditional VaR and expected shortfall," Journal of Econometrics, Elsevier, vol. 147(1), pages 120-130, November.
  52. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
  53. Sreekha Pullaykkodi & Rajesh H. Acharya, 2024. "The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 497-542, September.
  54. H. Zheng, 2006. "Efficient hybrid methods for portfolio credit derivatives," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 349-357.
  55. Spiliopoulos, Konstantinos & Sowers, Richard B., 2011. "Recovery rates in investment-grade pools of credit assets: A large deviations analysis," Stochastic Processes and their Applications, Elsevier, vol. 121(12), pages 2861-2898.
  56. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
  57. Marcell Béli & Kata Váradi, 2017. "A possible methodology for determining the initial margin," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 16(2), pages 119-147.
  58. Kenrick Raymond So & Stephanie Claire Cruz & Elias Antonio Marcella & Jeric Briones & Len Patrick Dominic Garces, 2025. "Uncertainty in Pricing and Risk Measurement of Survivor Contracts," Risks, MDPI, vol. 13(2), pages 1-25, February.
  59. Cowan, Adrian M. & Cowan, Charles D., 2004. "Default correlation: An empirical investigation of a subprime lender," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 753-771, April.
  60. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016. "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 16(C), pages 75-84.
  61. Lei, Lei & Peng, Yijie & Fu, Michael C. & Hu, Jian-Qiang, 2023. "Copula sensitivity analysis for portfolio credit derivatives," European Journal of Operational Research, Elsevier, vol. 308(1), pages 455-466.
  62. Xia Han & Liyuan Lin & Mengshi Zhao, 2025. "Empirical estimator of diversification quotient," Papers 2506.20385, arXiv.org, revised Oct 2025.
  63. Osmundsen, Kjartan Kloster, 2018. "Using expected shortfall for credit risk regulation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 80-93.
  64. Cerqueti, Roy & Giacalone, Massimiliano & Panarello, Demetrio, 2019. "A Generalized Error Distribution Copula-based method for portfolios risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 687-695.
  65. Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, vol. 52(4), pages 558-566, April.
  66. Krebs, Martin & Nippel, Peter, 2021. "Unexpected loss, expected profit, and economic capital: A note on economic capital for credit risk incorporating interest income, expenses, losses, and ROE target," Finance Research Letters, Elsevier, vol. 38(C).
  67. Haoyu Chen & Tiantian Mao & Fan Yang, 2024. "Estimation of the Adjusted Standard-deviatile for Extreme Risks," Papers 2411.07203, arXiv.org.
  68. Alexander F. R. Koivusalo & Rudi Schafer, 2011. "Calibration of structural and reduced-form recovery models," Papers 1102.4864, arXiv.org.
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