Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Weissbach, Rafael | de |
dc.date.accessioned | 2004-12-06T18:51:34Z | - |
dc.date.available | 2004-12-06T18:51:34Z | - |
dc.date.issued | 2004 | de |
dc.identifier.uri | http://hdl.handle.net/2003/5310 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-15143 | - |
dc.description.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. | en |
dc.format.extent | 164176 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | de |
dc.publisher | Universität Dortmund | de |
dc.subject | portfolio credit risk | en |
dc.subject | counting process | en |
dc.subject | economic capital | en |
dc.subject | operational risk | en |
dc.subject | martingale | en |
dc.subject | mixture distribution | en |
dc.subject | compounding | en |
dc.subject | frailty | en |
dc.subject.ddc | 000 | de |
dc.title | A rule of thumb for the economic capital of a large credit portfolio | en |
dc.type | Text | de |
dc.type.publicationtype | report | en |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
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