University of Münster
Matthias Löderbusch holds a doctorate (Ph.D. equivalent) in economics and a Master’s degree in finance. From 2013 to 2017 he has been working as a research associate at the Finance Department of the University of Muenster. His research interests lie in the field of credit risk modeling and regulation with a focus on credit portfolio models, risk aggregation as well as parametric and nonparametric estimation techniques for loss given default. In January 2018, he joined zeb.rolfes.schierenbeck.associates GmbH where he works as a consultant in the Quantitative Methods Practice Group.
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
This paper proposes a latent variable credit risk model for large loan portfolios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure and a copula-dependent stochastic loss given default (LGD).
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…