Provisions and economic capital for credit losses†
基于超模序性质，证明了椭圆分布潜在因子下信用损失的凸风险度量随信用间及信用市场协方差非递减，支持用于计算拨备、经济资本及压力测试。
Based on supermodularity ordering properties, we show that convex risk measures of credit losses are nondecreasing w.r.t. credit-credit and, in a wrong-way risk setup, credit-market, covariances of elliptically distributed latent factors. These results support the use of such setups for computing credit provisions and economic capital or for conducting stress test exercises and risk management analysis.