Construct · 1 fields · 1 citations

asymptotic single risk factor model: a standalone construct

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asymptotic singlerisk factor model1 CONSTRUCTAsymptotic single riskGORDY · RISK MANAGEMENT

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Risk management

credit portfolio model in which a single systematic factor drives losses in a fine-grained portfolio, giving capital charges that add up across loans.

In risk management, asymptotic single risk factor model refers to credit portfolio model in which a single systematic factor drives losses in a fine-grained portfolio, giving capital charges that add up across loans. This meaning comes from Gordy (2003) in Journal of Financial Intermediation.[1]

Unit
Recovery means
Measured by

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Nearby constructs

capital2 fields · 3 citationsjingle · one word, two constructscredit2 fields · 2 citationsjingle · one word, two constructsfactor3 fields · 4 citationsjingle · one word, three constructs

References

  1. Gordy, M. B. (2003). A risk-factor model foundation for ratings-based bank capital rules. Journal of Financial Intermediation, 12(3), 199-232. https://doi.org/10.1016/s1042-9573(03)00040-8

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