Credit Risk Value and Expected Deficit Applying Copulas

This paper presents an application of Copula Theory to an Ecuadorian consumer credit portfolio. To be applied, first, the marginal distributions of the default rate and the amount of exposure were estimated based on historical information; then copulas were built, and Sklar’s Theorem was applied thr...

• Autor principal: Andrade Cóndor, Alexander (author)
• Formato: article
• Lenguaje: spa
• Publicado: 2021
• Materias: cópula; riesgo de crédito; valor en riesgo de crédito; déficit esperado; Copula; credit risk; value at credit risk; expected deficit; Cópula; risco de crédito; valor em risco de crédito
• Acceso en línea: https://revistas.uasb.edu.ec/index.php/eg/article/view/2579