Authors: | Weissbach, Rafael |
Title: | A rule of thumb for the economic capital of a large credit portfolio |
Language (ISO): | en |
Abstract: | We derive approximate formulae for the credit value-at-risk and the economic capital of a large credit portfolio. The representation allows to change the risk horizon quickly and avoids simulation or numerical procedures. The Poisson mixture model is equivalent to CreditRisk+ and uses the same parameters. |
Subject Headings: | portfolio credit risk counting process economic capital operational risk martingale mixture distribution compounding frailty |
URI: | http://hdl.handle.net/2003/5310 http://dx.doi.org/10.17877/DE290R-15143 |
Issue Date: | 2004 |
Provenance: | Universität Dortmund |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
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