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ISBN 9783843903615

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978-3-8439-0361-5, Reihe Wirtschaftswissenschaften

Christoph Pavel
Credit Portfolio Management An Analysis of Credit Risk Drivers, Models, and Risk Management Tools

240 Seiten, Dissertation WHU - Otto Beisheim School of Management Vallendar (2011), Softcover, A5

Zusammenfassung / Abstract

The model-based analysis and the empirical analysis confirmed the hypotheses, derived from the literature and survey results, that single-name concentrations and a high systematic component are major sources of credit portfolio risk. The analysis of granularity showed that a small number of very large loans significantly increases EC and ES. Avoiding such diversity in size or hedging such exposures is critical to keep economic capital low. The empirical analysis confirmed a complex pattern of systematic credit risk. One dominant factor of global systematic risk could be identified and its share of total variance is larger than for equities. Over half of the variation in this factor can be explained by a global cyclical effect measured by the MSCI World. Furthermore, industries and regions/countries show significant loadings on subsequent factors. Credit portfolio risk parameters increase significantly, if portfolios are highly concentrated in regions or industries. The systematic portion of credit risk resulting from the analysis of CDS prices is significantly higher than the parameter assumed in the Basel II IRB formula if the financial crisis 2007-2009 is included in the time-series. It remains to future research to analyze whether actual defaults reflect a clustering as it is induced by CDS prices or whether it is closer to what is induced by Basel II.