Credit Risk

Zusammenfassung

In financial context, the majority of studies in econophysics are dealing with market risk, since many concepts in statistical physics are directly applicable. A type of risk that is fundamentally different from the other types of financial risks discussed in the introduction is represented by credit risk [123–127]. Modeling credit risk, i.e., the risk that an obligor fails to make a promised payment, is much more complex. As discussed in the previous chapters, the risk of a financial asset, e.g., a stock, is often expressed by its standard deviation. Due to the nearly symmetric shape of the return distribution of, e.g., stocks, by this definition, large positive returns are considered just as risky as large negative returns. An investor who uses volatility as a risk measure acts risk averse. However, due to the asymmetric shape of a credit portfolio's loss distribution, the variance is not suitable as a risk measure in this context.