Journal of Banking & Finance Vol. 31 No. 12 2007
Credit portfolios: What defines risk horizons and risk measurement?
Abstract
The strong autocorrelation between economic cycles demands that we analyze credit portfolio risk in a multiperiod setup. We embed a standard one-factor model in such a setup. We discuss the calibration of the model to Standard & Poor’s ratings data in detail. But because single-period risk measures cannot capture the cumulative effects of systematic shocks over several periods, we define an alternative risk measure, which we call the time-conditional expected shortfall (TES), to quantify credit portfolio risk over a multiperiod horizon.
- DOI
- 10.1016/j.jbankfin.2007.01.022
- Volume
- 31
- Issue
- 12
- Pages
- 3663-3679
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref