This paper investigates the complexity involved in the quantitative measurement of Economic Capital and proposes simulation methods as a practical solution for obtaining the loss distribution of a portfolio of obligors. The paper examines a one factor model to generate loss distribution which establishes the necessary ingredients to measure the credit risk quantities in a loan portfolio. The general elements of credit risk modeling are outlined and then a specific model that employs a Monte Carlo simulation is developed. An example is provided that calculates the risk quantities in a loan portfolio from which the Economic Capital in a credit risk portfolio is obtained.
| Published in | International Journal of Economics, Finance and Management Sciences (Volume 1, Issue 6) |
| DOI | 10.11648/j.ijefm.20130106.29 |
| Page(s) | 406-412 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2024. Published by Science Publishing Group |
Economic Capital, Unexpected Loss, Obligor, Asset Value Correlation, Joint Probability of Default
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APA Style
Osei Antwi, Alice Constance Mensah, Martin Owusu Amoamah, Dadzie Joseph. (2014). Measuring Economic Capital Using Loss Distributions. International Journal of Economics, Finance and Management Sciences, 1(6), 406-412. https://doi.org/10.11648/j.ijefm.20130106.29
ACS Style
Osei Antwi; Alice Constance Mensah; Martin Owusu Amoamah; Dadzie Joseph. Measuring Economic Capital Using Loss Distributions. Int. J. Econ. Finance Manag. Sci. 2014, 1(6), 406-412. doi: 10.11648/j.ijefm.20130106.29
AMA Style
Osei Antwi, Alice Constance Mensah, Martin Owusu Amoamah, Dadzie Joseph. Measuring Economic Capital Using Loss Distributions. Int J Econ Finance Manag Sci. 2014;1(6):406-412. doi: 10.11648/j.ijefm.20130106.29
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Download@article{10.11648/j.ijefm.20130106.29,
author = {Osei Antwi and Alice Constance Mensah and Martin Owusu Amoamah and Dadzie Joseph},
title = {Measuring Economic Capital Using Loss Distributions},
journal = {International Journal of Economics, Finance and Management Sciences},
volume = {1},
number = {6},
pages = {406-412},
doi = {10.11648/j.ijefm.20130106.29},
url = {https://doi.org/10.11648/j.ijefm.20130106.29},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20130106.29},
abstract = {This paper investigates the complexity involved in the quantitative measurement of Economic Capital and proposes simulation methods as a practical solution for obtaining the loss distribution of a portfolio of obligors. The paper examines a one factor model to generate loss distribution which establishes the necessary ingredients to measure the credit risk quantities in a loan portfolio. The general elements of credit risk modeling are outlined and then a specific model that employs a Monte Carlo simulation is developed. An example is provided that calculates the risk quantities in a loan portfolio from which the Economic Capital in a credit risk portfolio is obtained.},
year = {2014}
}
TY - JOUR T1 - Measuring Economic Capital Using Loss Distributions AU - Osei Antwi AU - Alice Constance Mensah AU - Martin Owusu Amoamah AU - Dadzie Joseph Y1 - 2014/01/30 PY - 2014 N1 - https://doi.org/10.11648/j.ijefm.20130106.29 DO - 10.11648/j.ijefm.20130106.29 T2 - International Journal of Economics, Finance and Management Sciences JF - International Journal of Economics, Finance and Management Sciences JO - International Journal of Economics, Finance and Management Sciences SP - 406 EP - 412 PB - Science Publishing Group SN - 2326-9561 UR - https://doi.org/10.11648/j.ijefm.20130106.29 AB - This paper investigates the complexity involved in the quantitative measurement of Economic Capital and proposes simulation methods as a practical solution for obtaining the loss distribution of a portfolio of obligors. The paper examines a one factor model to generate loss distribution which establishes the necessary ingredients to measure the credit risk quantities in a loan portfolio. The general elements of credit risk modeling are outlined and then a specific model that employs a Monte Carlo simulation is developed. An example is provided that calculates the risk quantities in a loan portfolio from which the Economic Capital in a credit risk portfolio is obtained. VL - 1 IS - 6 ER -
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