Difference between revisions of "Copula Based Credit Portfolio Models"

From Open Risk Manual
 
 
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[[category:Portfolio Risk Models]]
 
[[category:Portfolio Risk Models]]
 
[[category:Credit Network]]
 
[[category:Credit Network]]
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[[Category:Simulation]]

Latest revision as of 20:54, 21 November 2022

Definition

Copula Based Credit Portfolio Models' denotes a mathematical framework and computational method used in the Monte Carlo Simulation of Credit Portfolios that captures Dependency and Correlation between credit events using concepts from copula theory of distributions

Methodology

The following documents the mathematical structure of copula based models

Model Inputs

Model Outputs

References