Credit modeling and copula for portfolio credit finance essay
R. Cont Ed. Frontiers in Quantitative Finance. Modeling credit risk and volatility 1st edition. John Wiley amp Sons 2008, pp. 185-216. Google Scholar. Fast simulation of multifactorial portfolio credit risks in the t-copula model. Paper presented at the Winter Simulation Conference, Orlando, Florida, December 2005 2005 A standard quantitative method for assessing credit risk uses a factor model based on joint multivariate normal distribution properties. By extending the Gaussian copula model by one factor to produce a more accurate prediction of bankruptcy, this paper proposes to include a state-dependent recovery rate in the conditional factor, Credit Transfer Finance. Credit Information: Equities vs. CDS. Structural models. Intensity-based models. Vulnerability models. Granularity adjustment. Analysis of the loan portfolio. Dynamic analysis of credit risk portfolios We focus here on a static credit risk factor model and Gaussian copulas. Despite its simplicity, the normal copula remains robust according to the missing specifications of several of Hamerle and R's copulas