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 |
Files in This Item:
File | Description | Size | Format | |
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tr02-06.pdf | DNB | 159.34 kB | Adobe PDF | View/Open |
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