Authors: von Lieres und Wilkau, Carsten
Weißbach, Rafael
Title: On partial defaults in portfolio credit risk: Comparing economic and regulatory view
Language (ISO): en
Abstract: Most credit portfolio models calculate the loss distribution of a portfolio consisting solely of performing counterparts. We develop two models that account for defaulted counterparts in the calculation of the economic capital. First, we model the portfolio of non-performing counterparts standalone. The second approach derives the integrated loss distribution for the non-performing and the performing portfolio. Both calculations are supplemented by formulae for contributions of the single counterpart to the economic capital. Calibrating the models allows for an impact study and a comparison with Basel II.JEL subject classifications. C51, G11, G18, G33
Most credit portfolio models calculate the loss distribution of a portfolio consisting solely of performing counterparts. We develop two models that account for defaulted counterparts in the calculation of the economic capital. First, we model the portfolio of non-performing counterparts standalone. The second approach derives the integrated loss distribution for the non-performing and the performing portfolio. Both calculations are supplemented by formulae for contributions of the single counterpart to the economic capital. Calibrating the models allows for an impact study and a comparison with Basel II. JEL subject classifications. C51, G11, G18, G33
Subject Headings: Basel II
Credit portfolio model
Impact study
Loss distribution
Non-performing portfolio
Performing portfolio
URI: http://hdl.handle.net/2003/22139
http://dx.doi.org/10.17877/DE290R-2640
Issue Date: 2006-01-25T12:55:45Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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