Modelling corporate credit risk
Journal Title: Journal of Management and Financial Sciences - Year 2014, Vol 17, Issue 3
Abstract
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.
Authors and Affiliations
Marcin Łupiński
Keywords
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