Credit-Curve Interpolation
Default Losses Settings Credit-Default-Curve Interpolation: Continuous or
Discrete ?
Continuous and Discrete Credit-Curve Default Frequency Interpolation Impact
on medium and long term bankruptcy measures.
In the default states displayed in the detail tables below, results
come close in the near term
vertices. The discrete method seems to increase default states in the medium and long term.
Difference in Results will obviously vary according to Forward No-Default slope
and curvature.
Loss From Bankruptcy and Minimum Required Capital
Continuous Credit Curve Interpolation
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Discrete Credit-Curve
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Details of Default States at 20 '000 Runs per Simulation Horizon
| CH-A-SR 0005 |
| Time Step |
Horizon |
Maximum Loss |
Simulation Step |
Default States |
| 1 |
1 |
6484.45 |
1220 |
5 |
| 2 |
14 |
7511.48 |
16846 |
28 |
| 3 |
30 |
7867.64 |
12402 |
59 |
| 4 |
92 |
10764.40 |
18184 |
175 |
| 5 |
365 |
14714.69 |
4705 |
613 |
| 6 |
720 |
21164.21 |
2576 |
1207 |
| 7 |
1085 |
47340.75 |
9554 |
1560 |
| 8 |
1450 |
40238.09 |
3455 |
1930 |
| 9 |
1541 |
59198.81 |
14183 |
1829 |
| 10 |
1632 |
42563.27 |
11000 |
1666 |
| 11 |
1723 |
22425.29 |
7760 |
1583 |
| Total Default States |
| 10655.000000 |
|
|
|
| CH-A-SR 0005 |
| Time Step |
Horizon |
Maximum Loss |
Simulation Step |
Default States |
| 1 |
1 |
0.00 |
0 |
0 |
| 2 |
14 |
7563.97 |
3884 |
44 |
| 3 |
30 |
8696.97 |
14747 |
62 |
| 4 |
92 |
10563.99 |
14335 |
172 |
| 5 |
365 |
15041.41 |
19456 |
588 |
| 6 |
720 |
30969.79 |
4783 |
1515 |
| 7 |
1085 |
32005.88 |
10161 |
2557 |
| 8 |
1450 |
43874.86 |
9554 |
3196 |
| 9 |
1541 |
36664.81 |
3455 |
2788 |
| 10 |
1632 |
62112.02 |
14183 |
2293 |
| 11 |
1723 |
22425.29 |
7760 |
1936 |
| Total Default States |
| 15151.000000 |
|
|
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Details of Default States at 200'000 Runs per Simulation Horizon
| |
|
| CH-A-SR 0005 |
| Time Step |
Horizon |
Maximum Loss |
Simulation Step |
Default States |
| 1 |
1 |
6640.19 |
98006 |
20 |
| 2 |
14 |
7985.98 |
142080 |
272 |
| 3 |
30 |
8529.62 |
40753 |
531 |
| 4 |
92 |
12839.64 |
143245 |
1636 |
| 5 |
365 |
17653.15 |
105592 |
6183 |
| 6 |
720 |
32580.63 |
48413 |
11736 |
| 7 |
1085 |
60312.17 |
96978 |
16316 |
| 8 |
1450 |
75576.70 |
180336 |
19422 |
| 9 |
1541 |
59198.81 |
14183 |
18435 |
| 10 |
1632 |
75344.90 |
156395 |
16787 |
| 11 |
1723 |
30379.62 |
114045 |
15355 |
| Total Default States |
| 106693.000000 |
|
|
|
| CH-A-SR 0005 |
| Time Step |
Horizon |
Maximum Loss |
Simulation Step |
Default States |
| 1 |
1 |
6672.56 |
172867 |
18 |
| 2 |
14 |
8374.08 |
187604 |
265 |
| 3 |
30 |
8857.24 |
125566 |
516 |
| 4 |
92 |
11943.58 |
128964 |
1572 |
| 5 |
365 |
19068.41 |
123631 |
6217 |
| 6 |
720 |
31371.88 |
190056 |
15161 |
| 7 |
1085 |
38798.51 |
42271 |
25209 |
| 8 |
1450 |
71632.14 |
151217 |
32423 |
| 9 |
1541 |
67599.34 |
180336 |
27958 |
| 10 |
1632 |
75344.90 |
156395 |
23440 |
| 11 |
1723 |
30379.62 |
114045 |
18712 |
| Total Default States |
| 151491.000000 |
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