This thesis conducts several empirical analyses of important issues in modern quantitative risk management The first exercise examines the joint distribution of changes in agency credit ratings. We estimate both intra- and inter-industry correlations using Maximum Likelihood techniques. The analysis is performed unconditionally and then conditional on de-trended GDP. The latter estimates may be used for macro stress testing in which the credit quality of a portfolio is simulated conditional on a hypothesized future path of real output. Following the financial crisis, banks and regulators are increasingly relying on stress tests to understand portfolio risk. Particularly important has been macro stress testing in which the effects of macroeconomic scenarios on bank portfolios are traced through. The second exercise builds on Pesaran, Schuermann, and Weiner (2004) in devising and implementing macro stress testing techniques for a bank credit portfolio. In contrast to this and earlier studies, richer dependencies of credit market conditions on macroeconomic variables are developed. Specifically, the model allows sovereign ratings, the credit quality of corporate credit exposures (categorized by rating and maturity) and credit spreads to be driven by macroeconomic developments The challenges in understanding enterprise-wide risk are exacerbated when very different financial organizations are combined. The third exercise devises a unified framework for analysing risk in bancassurance organizations and employs this to examine the diversification benefits of conglomerates involving general insurance and traditional banking.
| Identifer | oai:union.ndltd.org:bl.uk/oai:ethos.bl.uk:586894 |
| Date | January 2012 |
| Creators | Siyi, Zhou |
| Publisher | Imperial College London |
| Source Sets | Ethos UK |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
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