|Title:||A rule of thumb for the economic capital of a large credit portfolio|
|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|
|Appears in Collections:||Sonderforschungsbereich (SFB) 475|
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