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Photo du rédacteurHélène Dufour

An axiomatic approach to default risk and model uncertainty in rating systems

"We discuss different properties and representations of default #riskmeasures via monetary risk measures, families of related #tailrisk measures, and Choquet capacities. In a second step, we turn our focus on #defaultrisk measures, which are given as worst-case [#probability of #default] PDs and distorted PDs. The latter are frequently used in order to take into account model risk for the computation of #capitalrequirements through risk-weighted assets (#rwas), as demanded by the Capital Requirement #regulation (#crr). In this context, we discuss the impact of different default risk measures and margins of conservatism on the amount of risk-weighted assets."


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