Authors: Lieres und Wilkau, Carsten von
Weißbach, Rafael
Title: On Partial Defaults in Portfolio Credit Risk - A Poisson Mixture Model Approach
Language (ISO): en
Abstract: Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts in the calculation of the economic capital. Two of the approaches are based on the Poisson mixture model CreditRisk+ and derive a loss distribution for an integrated portfolio. The third method treats the portfolio of non-performing exposure separately. All three calculations are supplemented by formulae for contributions of the counterpart to the economic capital.
URI: http://hdl.handle.net/2003/20155
http://dx.doi.org/10.17877/DE290R-8054
Issue Date: 2005
Publisher: Universität Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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