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
Publisher: Universität Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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