Granularity Adjustment Method in Credit Risk with Stochastic Loss Given Default

• Main Authors: JING -XIU LIN, 林敬修
• Other Authors: Yi-Ping Chang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/95370620332725707016

碩士 === 東吳大學 === 財務工程與精算數學系 === 98 === In Basel II 2004, Basle Committee on Banking Supervision (BCBS) proposes financial institutions to establish assessment model internally. Since the distribution of percentage of loss of investment portfolio is hard to be estimated and complicated, it is the important topic to select an effective model which describes the loss of investment portfolio and how to calculate credit Value-at-Risk (VaR). Both of default model and random loss given default (LGD) are related to macroecnomic systematic factor in this assignment. By using Granularity Adjustment (GA) to calculate the credit VaR. When the lower default probability of obligor's exposure at default increase, and the other parameter invariable, thought generally credit VaR will reduce, Emmer and Tasche (2005) will be selected the example which credit VaR will decrease then increase; but when supposition LGD is stochastic whether also has the similar result.