In this paper, we demonstrate the superiority of vine copulas over conventional copulas
when modeling the dependence structure of a credit portfolio. We show statistical and …

In both financial theory and practice, Value-at-risk (VaR) has become the predominant risk
measure in the last two decades. Nevertheless, there is a lively and controverse on-going …

Reverse stress tests are a relatively new stress test instrument that aims at finding exactly
those scenarios that cause a bank to cross the frontier between survival and default …

Since the development of the first credit portfolio models at the end of the last century (eg,
CreditMetrics by JP Morgan and CreditRisk+ by Credit Suisse First Boston), the estimation of …

This paper contributes to the literature about estimating asset correlation in two ways. First,
we compare the performance of different estimation approaches in a simulation study. By …

Credit risk is one of the main risks financial institutions are exposed to. Within the last two
decades, simulation-based credit portfolio models became extremely popular and replaced …

We discuss a possible solution to an unintended consequence of having grades, certificates,
rankings, and other diversions in the act of transferring knowledge, zooming in specifically …

We develop a quantitative model for structured microfinance instruments, which are
regarded as an important means for refinancing microfinance institutions. The quantitative …

In this article we introduce the novel GCPM package, which represents a generalized credit
portfolio model framework. The package includes two of the most popular mod-eling …

Risk capital allocation is based on the assumption that the risk of a homogeneous portfolio is
scaled up and down with the portfolio size. In this article we show that this assumption is true …