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Risikomaßzahlen für Kreditportfoliotranchen

Measures of risk for credit portfolio tranches

AStA Wirtschafts- und Sozialstatistisches Archiv Aims and scope Submit manuscript

Zusammenfassung

Zur Bewertung des Risikos von Tranchen eines Kreditportfolios existiert eine Vielzahl von Maßzahlen. Problematisch ist, dass sich für die einzelnen Konzepte meist noch keine einheitliche Bezeichnung herausgebildet hat. Auch stehen gleiche Bezeichnungen teilweise für unterschiedliche Maßzahlen. Ziel dieses Papieres ist es, die verwendeten Begriffe zu katalogisieren und eine einheitliche, unverwechselbare Bezeichnung für jede Maßzahl festzulegen. Des Weiteren werden für jede Maßzahl charakteristische Eigenschaften zusammengetragen. Es zeigt sich, dass im Prinzip zwei Maßzahlen zur Bewertung der Tranchen eines Portfolios genügen.

Abstract

There is a multitude of measures to evaluate the tranches of a structured credit portfolio. One problem is that for each concept there exists a variety of different terms. Furthermore, some of these terms are used for different measures. For this reason, this paper aims to catalog the terms used and to define a term that is appropriate and unique. Additionally, characteristic properties for each measure are collected. It turns out that in principle two of the considered measures suffice to evaluate the tranches of a portfolio.

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Correspondence to Daniel Tillich.

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Tillich, D. Risikomaßzahlen für Kreditportfoliotranchen. AStA Wirtsch Sozialstat Arch 5, 59–76 (2011). https://doi.org/10.1007/s11943-011-0095-1

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  • DOI: https://doi.org/10.1007/s11943-011-0095-1

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