Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation

Cui, Hengxin; Tan, Ken Seng; Yang, Fan

doi:10.1007/s10479-022-04717-0

Cited by 3 publications

(1 citation statement)

References 33 publications

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“…In particular, for the credit risk case, the remarkable work of Frey and McNeil (2003), the authors present recommendations on credit risk model choice. Moreover, the financial literature presents applications of Gaussian (Bourgey et al, 2020) and non-Gaussian copula models on portfolio credit risk, such as the t-copula (Chan and Kroese, 2010), composite Berstein copula (Guo et al, 2017), and Archimedean copulas (Fenech et al, 2015;Cui et al, 2022).…”

Section: Copulasmentioning

confidence: 99%

The effect of moral hazard on the SMEs credit portfolio guaranteed by Colombia's National Guarantee Fund

Castillo,

Mora-Valencia

2023

estud.gerenc.

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This article determines the effect of moral hazard on the probability of default of the credit portfolio of small and medium-sized companies guaranteed by Colombia's National Guarantee Fund. A copula methodology with two logit models with traditional and moral Hazard financial ratios was used. The results show that the probabilities of default have the same pattern, evidencing that by incorporating the ratios of moral hazard, no significant variations are shown in the results. Thus, the moral hazard categories become an important tool not only at the calculation level of individual default probability but also in a portfolio.

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