Multi-Period VaR for Risky Bond Portfolio - A Combination of Intrinsic Value and Factor Copula Approach
Date Issued
2006
Date
2006
Author(s)
Shen, Jing-Li
DOI
en-US
Abstract
Credit portfolio assets such as CDO (collateralized debt obligation) have the highest growth among all asset backed securities. This increases the demand for risk management of credit portfolio assets. Since most credit portfolios comprise heterogeneous credit assets, it makes the risk evaluation more complicated. This study combines an intrinsic valuation approach with factor copula to estimate endogenously expected recovery rate that are useful in estimating credit adjusted VaR of credit portfolios such as risky bond portfolios.
Subjects
信用風險
債券投資組合
風險值
credit risk
bond portfolio
VaR
Type
thesis
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ntu-95-R93723057-1.pdf
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