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Pré-Publication, Document De Travail Année : 2024

Provisions and Economic Capital for Credit Losses

Résumé

Based on supermodularity ordering properties, we show that convex risk measures of credit losses are nondecreasing w.r.t. credit-credit and, in a wrong-way risk setup, credit-market, covariances of elliptically distributed latent factors. These results support the use of such setups for computing credit provisions and economic capital or for conducting stress test exercises and risk management analysis.
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Dates et versions

hal-04389037 , version 1 (11-01-2024)
hal-04389037 , version 2 (26-01-2024)

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Dorinel Bastide, Stéphane Crépey. Provisions and Economic Capital for Credit Losses. 2024. ⟨hal-04389037v2⟩
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