Εκτίμηση κλαδικών συσχετίσεως για την Ελλάδα : κλασική συσχέτιση (correlation) και χρήση Copulas. Ανάλυση ευαισθησίας των ζημιών σε επίπεδο χαρτοφυλακίου

Abstract

This study presents a reliable and easily applicable method for the estimation of pair-wise default correlations. In order to achieve our goal we apply the notion of copula which simplifies the procedure and allows us to estimate more precisely the dependence structure. The appropriate dependence structure is applied on sectors’ default probabilities to derive the joint default probabilities. The sectors’ default probabilities are derived through the first-passage approach of asset value models. We examine the impact of individual default probabilities and dependence structure on joint default probability and consequently on default correlation. Finally the implications for a loan portfolio are exhibited.