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حسابداری و مالی::
ریسک اعتباری
How Robust is the Value-at-Risk of Credit Risk Portfolios?
In this paper, we assess the magnitude of model uncertainty of credit risk portfolio models, i.e.
Keywords Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk port- folio.
The financial crisis that emerged in 2008 has shown that management of credit risk is of utmost importance for the stability of the worldwide financial system.
In this regard, many industry participants as well as Basel III and Solvency II regulatory frameworks rely on the so-called "Merton's model of the firm" to estimate Value-at-Risk1 (VaR) of their credit risk portfolios and use this risk number as input to establish capital requirements.
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