89 research outputs found
Asset correlations and credit portfolio risk: an empirical analysis
In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one-factor or market model and a multi-factor or sector model. Our main finding is a complex interaction of credit risk correlations and default probabilities affecting total credit portfolio risk. Differentiation between industry sectors when using the sector model instead of the market model has only a secondary effect on credit portfolio risk, at least for the underlying credit portfolio. Averaging firm-dependent asset correlations on a sector level can, however, cause a substantial underestimation of the VaR in a portfolio with heterogeneous borrower size. This result holds for the market as well as the sector model. Furthermore, the VaR of the IRB model is more stable over time than the VaR of the market model and the sector model, while its distance from the other two models fluctuates over time. --Asset correlations,sector concentration,credit portfolio risk
ΠΠΈΠ½Π°ΠΌΠΈΠΊΠ° ΡΠ°ΡΡΠΎΡΠ½ΠΎΠ³ΠΎ ΡΠ΅Π²Π΅ΡΡΠ° Π°ΡΠΈΠ½Ρ ΡΠΎΠ½Π½ΠΎΠ³ΠΎ Π΄Π²ΠΈΠ³Π°ΡΠ΅Π»Ρ
ΠΠ»Ρ ΠΈΡΡΠ»Π΅Π΄ΠΎΠ²Π°Π½ΠΈΡ ΡΠ΅Π²Π΅ΡΡΠΈΡΠΎΠ²Π°Π½ΠΈΡ Π°ΡΠΈΠ½Ρ
ΡΠΎΠ½Π½ΠΎΠ³ΠΎ Π΄Π²ΠΈΠ³Π°ΡΠ΅Π»Ρ ΡΡΠ°Π²Π½ΠΈΠ²Π°ΡΡΡΡ Π΄Π²Π° ΡΠΏΠΎΡΠΎΠ±Π° ΡΠ°ΡΡΠΎΡΠ½ΠΎΠΉ ΠΈ ΠΏΡΠΎΡΠΈΠ²ΠΎΠ²ΠΊΠ»ΡΡΠ΅Π½ΠΈΠ΅ΠΌ. ΠΠ½Π°Π»ΠΈΠ·ΠΈΡΡΡΡΡΡ ΡΠ°Π·Π»ΠΈΡΠ½ΡΠ΅ Π·Π°ΠΊΠΎΠ½Ρ ΠΈΠ·ΠΌΠ΅Π½Π΅Π½ΠΈΡ ΡΠ°ΡΡΠΎΡΡ ΡΡΠ°ΡΠΎΡΠ° ΠΈ ΠΈΡ
Π²Π»ΠΈΡΠ½ΠΈΠ΅ Π½Π° Π±ΡΡΡΡΠΎΠ΄Π΅ΠΉΡΡΠ²ΠΈΠ΅, ΠΏΡΠ»ΡΡΠ°ΡΠΈΠΈ ΠΌΠΎΠΌΠ΅Π½ΡΠ°, ΠΏΠ»Π°Π²Π½ΠΎΡΡΡ
Former of Turn Trajectory of Sliding Valve Shaft of Gas Line
Former of turn trajectory of sliding valve shaft of gas line, that allows to provide desired motion trajectory of sliding valve and its full closing, is considered in that paper. Imitation model of that former, research results, which allow to detect influence of gain factor and time constant of position controller on value of speed error, that has impact on delay of output coordinate from setting, and that results to delay of sliding valve motion process to setting position point, are shown
Regionale Selbstversorgung mit erneuerbaren Energien
Die energetische Selbstversorgung von Kommunen und Regionen auf der Basis von erneuerbaren Energien kann einen entscheidenden Beitrag zum Klimaschutz leisten. Zu ihrer Verwirklichung mΓΌs- sen jedoch zahlreiche Faktoren berΓΌcksichtigt werden
ΠΠΎΠ½ΠΊΡΡΠ΅Π½ΡΠΎΡΠΏΠΎΡΠΎΠ±Π½ΠΎΡΡΡ ΡΠΎΡΡΠΈΠΉΡΠΊΠΈΡ Π±Π°Π½ΠΊΠΎΠ²
Π Π΄Π°Π½Π½ΠΎΠΉ ΡΡΠ°ΡΡΠ΅ ΡΠ°ΡΠΊΡΡΡΠΎ ΠΏΠΎΠ½ΡΡΠΈΠ΅ ΠΊΠΎΠ½ΠΊΡΡΠ΅Π½ΡΠΈΠΈ, ΠΎΠΏΡΠ΅Π΄Π΅Π»Π΅Π½Ρ ΠΎΡΠ½ΠΎΠ²Π½ΡΠ΅ ΠΏΡΠΈΡΠΈΠ½Ρ Π·Π½Π°ΡΠΈΠΌΠΎΡΡΠΈ Π±Π°Π½ΠΊΠΎΠ²ΡΠΊΠΎΠΉ ΠΊΠΎΠ½ΠΊΡΡΠ΅Π½ΡΠΈΠΈ Π΄Π»Ρ ΡΠΊΠΎΠ½ΠΎΠΌΠΈΡΠ΅ΡΠΊΠΎΠ³ΠΎ ΡΠ΅ΠΊΡΠΎΡΠ° ΡΠΊΠΎΠ½ΠΎΠΌΠΈΠΊΠΈ, ΡΠ°ΡΡΠΌΠΎΡΡΠ΅Π½Ρ ΠΈ ΡΠ°ΡΠΊΡΡΡΡ ΡΠ°ΠΊΡΠΎΡΡ, ΠΎΠΏΡΠ΅Π΄Π΅Π»ΡΡΡΠΈΠ΅ ΡΡΠΎΠ²Π΅Π½Ρ ΠΊΠΎΠ½ΠΊΡΡΠ΅Π½ΡΠΈΠΈ Π±Π°Π½ΠΊΠΎΠ²
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