Integrating market and credit risk: A simulation and optimisation perspective

作     者：Jobst, NJ Mitra, G Zenios, SA 

作者机构：Brunel Univ Dept Math Sci Ctr Anal Risk & Optimisat Modelling Applicat CARISMA Uxbridge UB8 3PH Middx England Brunel Univ Dept Math Sci Ctr Anal Risk & Optimisat Modelling Applicat CARISMA London England Stand & Poors Structured Finance Ratings London England Univ Cyprus HERMES Ctr Computat Finance & Econ Nicosia Cyprus 

出 版 物：《JOURNAL OF BANKING & FINANCE》 (银行业与金融杂志)

年 卷 期：2006年第30卷第2期

页      面：717-742页

核心收录：

学科分类：0202[经济学-应用经济学] 02[经济学] 1202[管理学-工商管理] 0201[经济学-理论经济学] 

主　　题：credit risk default risk asset and liability management stochastic programming 

摘      要：We introduce a modelling paradigm which integrates credit risk and market risk in describing the random dynamical behaviour of the underlying fixed income assets. We then consider an asset and liability management (ALM) problem and develop a multistage stochastic programming model which focuses on optimum risk decisions. These models exploit the dynamical multiperiod structure of credit risk and provide insight into the corrective recourse decisions whereby issues such as the timing risk of default is appropriately taken into consideration. We also present an index tracking model in which risk is measured (and optimised) by the CVaR of the tracking portfolio in relation to the index. In-sample as well as out-of-sample (backtesting) experiments are undertaken to validate our approach. The main benefits of backtesting, that is, ex-post analysis are that (a) we gain insight into asset allocation decisions, and (b) we are able to demonstrate the feasibility and flexibility of the chosen framework. (c) 2005 Published by Elsevier B.V.