Modelling corporate credit risk

• Authors: Łupiński, Marcin

Abstracts

EN

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.

Keywords

EN

corporate credit risk measures; Credit Value at Risk

• Publisher: Szkoła Główna Handlowa w Warszawie. Kolegium Zarządzania i Finansów
• Journal: Journal of Management and Financial Sciences
• Year: 2014
• Volume: 17(3)
• Pages: 30-48

Dates

published

2017-08-28

Contributors

author

Łupiński, Marcin