Marius Pfeuffer is a postdoctoral research and teaching assistant at the University of Erlangen-Nuremberg. His work focuses on quantitative risk modeling and computational statistics with an emphasis on credit risk. He obtained a master’s degree in Statisticsfrom the University of Munich.
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…