Summary
We present a new approach for integrated market and credit risk management for highly volatile financial markets. We will illustrate our approach on Cognity software for evaluation of credit risk. Cognity CreditRisk System comprises two models for credit risk evaluation for complex portfolios of instruments with inherent credit risk — Asset Value Approach (AV Model) and Stochastic Default Rate Model (SDR Model), both based on Stable Distributions. We shall summarize the main features of the current version of Cognity: (i) Risk Drivers Scenarios generation (ii) Estimation of dependece structure between risk drivers and modeling marginal distributions; (iii) Credit risk estimation under AV and SDR models.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
S.T. Rachev, J-R.Kim, and S.Mittnik, Stable Paretian Models in Econometrics: Part 1, Mathematical Scientists, 1999, 24, 24 – 55.
S.T. Rachev, J-R.Kim, and S. Mittnik, Stable Paretian Models in Econometrics: Part 2, Mathematical Scientists, 1999, 24, 113 – 127.
S.T. Rachev, S. Han, Portofolio management with stable distributions, MathematicalMethods of Operations Research, 2000, 51, 341 – 352.
G. Götzenberger, S.T. Rachev, and E. Schwartz, Performance Measurements: The Stable Paretian Approach Applied Mathematics Reviews, Vol. 1, World Scientific , 2000, 329 – 406.
S.T. Rachev Y. Tokat Publishing, Asset and Liability Management: Recent Advances, Handbook of Analytic-Computational Methods in Applied Mathematics, 2000, 859 - 908.
S.T. Rachev, G. Samorodnitsky, Long stränge segments in a long ränge dependent moving average, Stochastic Processes and Their Applications, 2001, 93, 119–148.
I. Khindanova, S.T. Rachev, and E.Schwartz, Stable Modeling of Value at Risk, Mathematical and Computer Modelling, 2001,34,1223–1258
P. M ansfield, S.T. Rachev, and G. Samorodnitsky, Long Strange Segments of a Stochastic Process, Annais of Applied Probability, 2001, 11, 878–921.
S. Mittnik, S.T. Rachev, and E. Schwartz, Value-at-risk and Asset Allocation with Stable Return Distributions, The German Statistical Review (Allgemeines Statistisches Archiv - ASTA), 86, 1–15, 2002, special issue Statistical and Econometric Risk Analysis of Finance Markets
S. Mittnik, M.S. Paolella, and S.T. Rachev, Stationarity of Stable Power- GARCH Processes Journal of Econometrics, 106, 97–107, 2002.
Y. Tokat, S.T. Rachev, and E. Schwartz, The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach to appear in Journal of Economic Dynamics and Control, 2002.
S. Ortobelli, S.T. Rachev, E. Schwartz, and I. Huber, Portfolio Choice Theory with non-Gaussian Distributed Returns to appear in Handbook of Heavy Tailed Distributions in Finance, North Holland Handbooks of Finance (Series Editor W.T. Ziemba), 2001.
S.T. Rachev, W. Römisch, Quantitative stability in stochastic programming: The method of probability metrics to appeax in Mathematics of Operations Research, 2002.
S.T. Rachev, E. Schwartz, and I. Khindanova, Stable Modeling of Market and Credit Value at Risk to appear in the Handbook of Heavy Tailed Distributions in Finance, North Holland Handbooks of Finance (Series Editor W.T. Ziemba), 2002.
S.T. Rachev, S.Mittnik, Stable Paretian Models in Finance, Series in Financial Economics and Quantitative Analysis, Wiley &; Sons, 2000.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2003 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Racheva-Jotova, B., Stoyanov, S., Rachev, S.T. (2003). Stable Non-Gaussian Credit Risk Model; The Cognity Approach. In: Bol, G., Nakhaeizadeh, G., Rachev, S.T., Ridder, T., Vollmer, KH. (eds) Credit Risk. Contributions to Economics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-59365-9_10
Download citation
DOI: https://doi.org/10.1007/978-3-642-59365-9_10
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-7908-0054-8
Online ISBN: 978-3-642-59365-9
eBook Packages: Springer Book Archive