The objective of this thesis is to investigate various extensions to Vasicek's (1987, 2002) regulatory Gaussian credit risk model for improving current credit risk management practices. The thesis first provides a comprehensive review of Vasicek's (1987, 2002) Gaussian structural model for the distribution of credit portfolio losses, its theoretical extensions and the empirical applications in the literature. This is followed by four empirical studies. My first empirical study examines the impact of skewness and excess kurtosis of the asset return process on the shape of the credit loss distribution and, consequently, over the Basel II requirements. My second empirical study investigates the combined impact of contagion across economic sectors and a non-Gaussian common factor on the shape of the credit loss distribution. My third empirical study contains a Monte Carlo study of the robustness of the probability of default and asset correlation estimators of the Basel II Gaussian model when the true loss data generating process follows a non-Gaussian asset return process. Finally, I investigate the accuracy of the correlation parameter prescribed in Basel II for US and Mexico
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:528505 |
| Date | January 2010 |
| Creators | Zuk, Enrique Eugenio Batiz |
| Publisher | University of Manchester |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
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