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حسابداری و مالی::
پرتفوی اعتباری
However, VaR assessments of credit portfolios that are performed at high confidence levels (as it is the case in Solvency II and Basel III) remain subject to significant model uncertainty and are not robust.
The basic reason for this feature is that large losses of a credit portfolio occur when several loans default together, but lack of default data implies that these joint probabilities are very hard to specify2 (joint defaults are "rare events").
In the paper we also provide specialized results for VaR bounds in the case of credit portfolios that are ho- mogeneous in exposures (but not in probability).
We also derive the dependence that yields the minimum variance of the credit portfolio.
For example, the Basel III standard framework relies on formula (31) to determine the required capital that banks need to hold for their credit portfolios; see the Basel Committee on Banking Supervision 2010).
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