{"title":"区域银行间信用风险分担的比例:经济资本和投资组合粒度","authors":"M. Krebs","doi":"10.2139/ssrn.3900446","DOIUrl":null,"url":null,"abstract":"German savings and cooperative banks use credit risk pooling transactions as a specific type of synthetic credit risk transfer. This paper describes the effect of pro rata credit risk pooling transactions on the granularity of these banks’ credit portfolios. The change in granularity is described analytically using general properties of concentration measures. This allows to prove independent of specific concentration measures or credit portfolio models that the granularity of a credit portfolio will increase if a bank participates in pro rata credit risk pooling with homogeneous credit risks. But simulations show that Value-at-Risk will not always decrease if a portfolio’s granularity increases, ceteris paribus. As a consequence, banks using Value-at-Risk instead of a coherent risk measure like Expected Shortfall might choose to limit their participation in credit risk pooling transactions.","PeriodicalId":331807,"journal":{"name":"Banking & Insurance eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Pro Rata Credit Risk Pooling Between Regional Banks: Economic Capital and Portfolio Granularity\",\"authors\":\"M. Krebs\",\"doi\":\"10.2139/ssrn.3900446\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"German savings and cooperative banks use credit risk pooling transactions as a specific type of synthetic credit risk transfer. This paper describes the effect of pro rata credit risk pooling transactions on the granularity of these banks’ credit portfolios. The change in granularity is described analytically using general properties of concentration measures. This allows to prove independent of specific concentration measures or credit portfolio models that the granularity of a credit portfolio will increase if a bank participates in pro rata credit risk pooling with homogeneous credit risks. But simulations show that Value-at-Risk will not always decrease if a portfolio’s granularity increases, ceteris paribus. As a consequence, banks using Value-at-Risk instead of a coherent risk measure like Expected Shortfall might choose to limit their participation in credit risk pooling transactions.\",\"PeriodicalId\":331807,\"journal\":{\"name\":\"Banking & Insurance eJournal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-07-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Banking & Insurance eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3900446\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Banking & Insurance eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3900446","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
德国储蓄银行和合作银行将信用风险分担交易作为一种特殊类型的综合信用风险转移。本文描述了比例信贷风险池交易对这些银行信贷组合粒度的影响。粒度的变化是用浓度测量的一般性质来解析描述的。这可以证明,独立于特定的集中度措施或信贷组合模型,如果银行参与具有同质信贷风险的按比例信贷风险池,信贷组合的粒度将增加。但模拟表明,如果投资组合的粒度增加,风险价值并不总是减少,其他条件不变。因此,使用风险价值(value - in - risk)而不是像预期缺口(Expected shortage)这样连贯的风险衡量标准的银行,可能会选择限制它们参与信贷风险汇集交易。
Pro Rata Credit Risk Pooling Between Regional Banks: Economic Capital and Portfolio Granularity
German savings and cooperative banks use credit risk pooling transactions as a specific type of synthetic credit risk transfer. This paper describes the effect of pro rata credit risk pooling transactions on the granularity of these banks’ credit portfolios. The change in granularity is described analytically using general properties of concentration measures. This allows to prove independent of specific concentration measures or credit portfolio models that the granularity of a credit portfolio will increase if a bank participates in pro rata credit risk pooling with homogeneous credit risks. But simulations show that Value-at-Risk will not always decrease if a portfolio’s granularity increases, ceteris paribus. As a consequence, banks using Value-at-Risk instead of a coherent risk measure like Expected Shortfall might choose to limit their participation in credit risk pooling transactions.