| Credit Portfolio Model for Loans by Stochastic Recovery Rate |
| کد مقاله : 1067-FEMATH7 |
| نویسندگان |
|
شکوه شاه بیک *1، شکوفه بنی هاشمی2 1گروه ریاضی. دانشکده آمار، ریاضی و رایانه. دانشگاه علامه طباطبایی 2گروه ریاضی دانشکده آمار، ریاضی و رایانه دانشگاه علامه طباطبائی |
| چکیده مقاله |
| In this paper credit risk of loan portfolio can be obtained by using stochastic recovery rate. The capital required to cover credit risk is achieved through the Vasicek model. Value-at-Risk (VaR) is utilized as a measure of risk to evaluate the level of risk and obtained by worst case Probability of default .We have used stochastic recovery rate for calculating VaR which is related to the underlying intensity default. Also, intensity default process is assumed to be linear in the short term interest rate which is driven by a CIR process. Credit risk model for loan portfolio is introduced and can be solved using this risk measure. |
| کلیدواژه ها |
| Credit risk, Stochastic Recovery rate, Default probability, VaR. |
| وضعیت: پذیرفته شده برای ارسال فایل های ارائه پوستر |