O'Reilly logo

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity by Frédéric Patras, Damiano Brigo, Tomasz R. Bielecki

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 5

Modeling Heterogeneity of Credit Portfolios: A Top-Down Approach

Igor Halperin

Quantitative Research, JPMorgan

Top-down models of credit portfolios have become popular in recent years due to their simplicity and computational efficiency. In terms of individual constituents of a credit portfolio, a top-down approach is usually associated with a limit of a homogeneous portfolio where all obligors have equal spreads, notionals, and recoveries. In this chapter, we present several extensions of such a classical top-down (TD) setting that account for heterogeneity in all these parameters. In particular, we introduce a simple and numerically efficient way of dissecting the portfolio risk into contributions of individual names, and show how ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required