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Benchmarking collateral of triple-a rated securities

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Sarmiento, Camilo
Abstract (Spanish)
Este artículo presenta un método simple para estimar la garantía asociada con un tramo Aaa. El método es similar a la simulación histórica en el sentido de que no hay distribuciones específicas supuestos, y los datos determinan completamente las características de la distribución. Ambos La transparencia y la simplicidad de nuestro método proporcionan un punto de referencia valioso para la cola existente del modelado de distribución. Como punto de referencia, nuestro método también sirve para validar estimaciones de garantías para títulos calificados Aaa así como para validar modelos de capitalización de entidades financieras.
Abstract (English)
This paper presents a simple method to estimate the collateral associated with a Aaa tranche. The method is similar to historical simulation in the sense that there are no specific distributional assumptions, and the data fully determine the characteristics of the distribution. Both the transparency and simplicity of our method provide a valuable benchmark to existent tail of the distribution modelling. As a benchmark, our method also serves to validate collateral estimates for Aaa-rated securities as well as to validate capitalization models of financial institutions.
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5 páginas
URI: https://repositorio.escuelaing.edu.co/handle/001/2501
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AG - Centro de Estudios Económicos
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