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20170710 姚经: How Robust is the Value-at-Risk of Credit Risk Portfolios?
时间:2017-07-05

题目:How Robust is the Value-at-Risk of Credit Risk Portfolios?

时间:710日上午900~1000

地点:明德主楼1016

报告人:姚经, 应用经济学博士。比利时布鲁塞尔自由大学科研教授。

摘要:In this paper, we assess the magnitude of model uncertainty of credit risk portfolio models, i.e., what is the maximum and minimum Value-at-Risk (VaR) of a portfolio of risky loans that can be justified given a certain amount of available information. Puccetti and Rüschendorf (2012) and Embrechts et al. (2013) propose the rearrangement algorithm (RA) as a general method to approximate VaR bounds when the loss distributions of the different loans are known but not their interdependence. Their numerical results show that the gap between worst-case and best-case VaR is typically very high, a feature that can only be explained by lack of using dependence information. In this paper, we propose an modification of the RA that makes it possible to approximate sharp VaR bounds when besides the marginal distributions also higher order moments of the aggregate portfolio such as variance and skewness are available as sources of dependence information. A numerical study shows that even in the presence of dependence information VaR assessments of credit portfolios that are performed at high confidence levels (as it is the case in Solvency II and Basel III) are subject to significant model uncertainty and thus not robust. We provide some suggestions to improve regulation.

 

姚经简介:

姚经, 应用经济学博士。比利时FWO科研基金研究员,比利时布鲁塞尔自由大学科研教授,博士研究生导师,比利时天主教鲁汶大学访问学者,以色列海法大学精算和风险管理研究中心研究员。主要研究方向包括风险管理,金融衍生品定价,最优投资组合,风险相依结构等。论文曾发表于European Journal of Operational Research, Journal of Statistical Planning and InferenceQuantitative Finance, European Journal of FinanceNorth American Actuarial Journal, ASTIN Bulletin等。