Modelling corporate credit risk
Journal Title: Journal of Management and Financial Sciences - Year 2014, Vol 17, Issue 3
Abstract
The main goal of this paper is to present a credit value at risk (CVaR) approach to credit risk evaluation in a corporate segment. This method is a derivation of value at risk quantile risk measure used broadly in practice in the area of market risk assessment. Therefore it can be easily introduced to analysts with the principles of VaR estimation knowledge. As a risk measure deriving from common methodological roots it also integrates eas‑ ily with the market risk measures and is a good input to risk aggregation methods (like copulas functions) used for risk integration at the level of financial institutions’ particular units and whole organizations. The paper consists of two parts. In the first part, theoretical alternatives to the CVaR model are described and the CVaR theoretical and mathematical background is discussed. In the second part, practical, the CVaR measure for the group of Polish firms are computed with the help of functions built‑in the Matlab package and its Statistics toolbox.
Authors and Affiliations
Marcin Łupiński
Keywords
Related Articles
- EP ID EP216967
- DOI -
- Views 112
- Downloads 0
Modelling corporate credit risk
The main goal of this paper is to present a credit value at risk (CVaR) approach to credit risk evaluation in a corporate segment. This method is a derivation of value at risk quantile risk measure used broadly in practi...
Transnational Corporations as the Driving Forces Behind the World’s Research and Development Activity in Terms of R&D Expenditure
As discussed in the literature, more and more transnational corporations (TNCs) were attaching importance to research and development (R&D) activity from the 1970s through the 2000s. This growing involvement of TNCs in R...
Market Valuation Inefficiency of WIG 20 Companies in View of Research Conducted from 1st January 2007 till 15th August 2012
The authors attempt to identify the reasons for abnormal daily share price changes of companies listed in the WIG 20 blue‑chip index from January 2007 to August 2012. Average market fluctuations anomalies were recorded m...
Corporate Governance Versus Ethics. The Case of Goldman Sachs
The purpose of this paper: The purpose of this paper is to addresses corporate governance shortcomings identified in the pre-crisis period using the example of Goldman Sachs, it attempts to reveal the company’s divergenc...
Role of Virtual Platform Operators in Transforming Consumer Goods Market
Consumer goods market has evolved in recent four decades together with the dissemination of digital technologies and development of e-commerce. Practices based on human intelligence that solidified over ages are nowadays...