Economics and Finance

1404 Submissions

[2] viXra:1404.0008 [pdf] submitted on 2014-04-02 02:00:40

Stress-Testing Model for Corporate Borrower Portfolios

Authors: Seleznev Vladimir, Denis Surzhko, Nikolay Khovanskiy
Comments: 6 Pages.

Despite the significant attention to the stress-testing issues in finances world-wide, the ways of quantitative assessment of the stress impact on the portfolios of non-public (in the absence of equity or debt market quotes) corporate borrowers are currently not sufficiently developed or standardized. The aim of this article is to propose high-level universal requirements to the quantitative models of stress-testing of non-public corporate borrower portfolios, and to describe the model, developed by the authors, which meets such requirements. Details of the model’s calibration, implementation (using Monte-Carlo simulations) and some practical issues are covered in the article.
Category: Economics and Finance

[1] viXra:1404.0001 [pdf] submitted on 2014-04-01 09:08:34

Approach for Multi-Period PD Calibration for LDP Portfolios.

Authors: Denis Surzhko, Rainer Glaser
Comments: 7 Pages.

In the paper we propose PD calibration framework for LDP that allows producing smooth non-zero PD estimates for any given time horizon within the length of economic cycle. The advantages of the approach is that produced PDs are consistent with two main anchors – PIT and TTC PD estimates and are subject to smooth, monotonic transition between those two anchors. In practise, proposed framework could be applied to risk-based pricing of mid-term deals, whose duration is too long compared with PIT PD horizon and significantly shorter that the length of the whole economic cycle.
Category: Economics and Finance