APPLICATION OF MIGRATION MATRICES TO RISK EVALUATION AND THEIR IMPACT ON PORTFOLIO VALUE

• Authors: Urszula Grzybowska , Marek Karwanski
• Languages of publication: EN

Abstracts

EN

Migration matrices are widely used in risk management. In particular, quality of financial products due to credit risk is described by assigning them to one of several rating categories. The probability of future rating is determined by a migration matrix. Portfolio’s value depends on the rating and on market states. To find an optimal portfolio one should consider migration matrices and the dynamics of market changes. The main goal of our research was to investigate the impact of both risks, market risk and credit risk on portfolio value. On a real portfolio we show that differences in migration matrices that result from the state of economy influence considerably credit risk and portfolio value.

Keywords

EN

migration matrices; portfolio value; market risk; credit risk

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2013
• Volume: 14
• Issue: 1
• Pages: 127-136

Dates

published

2013

Contributors

author

Urszula Grzybowska

• Department of Informatics Warsaw University of Life Sciences – SGGW

author

Marek Karwanski

• Department of Informatics Warsaw University of Life Sciences – SGGW

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