Model risk on credit risk

This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase transitions, potentially leading to systemic credit events which...

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Detalles Bibliográficos
Autores: Molins, J., Vives i Santa-Eulàlia, Eduard
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2016
País:España
Institución:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
Repositorio:Recercat. Dipósit de la Recerca de Catalunya
OAI Identifier:oai:recercat.cat:2445/96423
Acceso en línea:https://hdl.handle.net/2445/96423
Access Level:acceso abierto
Palabra clave:Risc de crèdit
Fallides bancàries
Credit risk
Bank failures
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repository_id_str
spelling Model risk on credit riskMolins, J.Vives i Santa-Eulàlia, EduardRisc de crèditFallides bancàriesCredit riskBank failuresThis paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase transitions, potentially leading to systemic credit events which happen unexpectedly and without an underlying single cause. We show the Jungle model provides the optimal probability distribution for credit losses, under some reasonable empirical constraints. The Dandelion model, a particular case of the Jungle model, is presented, motivated and exactly solved. The Dandelion model provides an explicit example of doubly-peaked probability distribution for the credit losses. The Diamond model, another instance of the Jungle model, experiences the so called quasi phase transitions; in particular, both the U.S. subprime and the European sovereign crises are shown to be potential examples of quasi phase transitions. We suggest how the Jungle model is able to explain a series of empirical stylized facts in credit portfolios, hard to reconcile by some standard credit portfolio models. We look at model risk in a credit risk framework under the Jungle model, especially in relation to systemic risks posed by doubly-peaked distributions and quasi phase transitions.IOS Press2016201620162016info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersion14 p.application/pdfhttps://hdl.handle.net/2445/96423Articles publicats en revistes (Física Quàntica i Astrofísica)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésReproducció del document publicat a: http://dx.doi.org/10.3233/RDA-150115Risk and Decision Analysis, 2016, vol. 6, num. 1, p. 65-78http://dx.doi.org/10.3233/RDA-150115(c) Molins, J. et al., 2016info:eu-repo/semantics/openAccessoai:recercat.cat:2445/964232026-05-29T05:05:01Z
dc.title.none.fl_str_mv Model risk on credit risk
title Model risk on credit risk
spellingShingle Model risk on credit risk
Molins, J.
Risc de crèdit
Fallides bancàries
Credit risk
Bank failures
title_short Model risk on credit risk
title_full Model risk on credit risk
title_fullStr Model risk on credit risk
title_full_unstemmed Model risk on credit risk
title_sort Model risk on credit risk
dc.creator.none.fl_str_mv Molins, J.
Vives i Santa-Eulàlia, Eduard
author Molins, J.
author_facet Molins, J.
Vives i Santa-Eulàlia, Eduard
author_role author
author2 Vives i Santa-Eulàlia, Eduard
author2_role author
dc.subject.none.fl_str_mv Risc de crèdit
Fallides bancàries
Credit risk
Bank failures
topic Risc de crèdit
Fallides bancàries
Credit risk
Bank failures
description This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase transitions, potentially leading to systemic credit events which happen unexpectedly and without an underlying single cause. We show the Jungle model provides the optimal probability distribution for credit losses, under some reasonable empirical constraints. The Dandelion model, a particular case of the Jungle model, is presented, motivated and exactly solved. The Dandelion model provides an explicit example of doubly-peaked probability distribution for the credit losses. The Diamond model, another instance of the Jungle model, experiences the so called quasi phase transitions; in particular, both the U.S. subprime and the European sovereign crises are shown to be potential examples of quasi phase transitions. We suggest how the Jungle model is able to explain a series of empirical stylized facts in credit portfolios, hard to reconcile by some standard credit portfolio models. We look at model risk in a credit risk framework under the Jungle model, especially in relation to systemic risks posed by doubly-peaked distributions and quasi phase transitions.
publishDate 2016
dc.date.none.fl_str_mv 2016
2016
2016
2016
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/96423
url https://hdl.handle.net/2445/96423
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Reproducció del document publicat a: http://dx.doi.org/10.3233/RDA-150115
Risk and Decision Analysis, 2016, vol. 6, num. 1, p. 65-78
http://dx.doi.org/10.3233/RDA-150115
dc.rights.none.fl_str_mv (c) Molins, J. et al., 2016
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Molins, J. et al., 2016
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 14 p.
application/pdf
dc.publisher.none.fl_str_mv IOS Press
publisher.none.fl_str_mv IOS Press
dc.source.none.fl_str_mv Articles publicats en revistes (Física Quàntica i Astrofísica)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.81155

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