On Partial Defaults in Portfolio Credit Risk - A Poisson Mixture Model Approach

dc.contributor.author	Lieres und Wilkau, Carsten von	de
dc.contributor.author	Weißbach, Rafael	de
dc.date.accessioned	2005-03-08T15:23:49Z
dc.date.available	2005-03-08T15:23:49Z
dc.date.issued	2005	de
dc.description.abstract	Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts in the calculation of the economic capital. Two of the approaches are based on the Poisson mixture model CreditRisk+ and derive a loss distribution for an integrated portfolio. The third method treats the portfolio of non-performing exposure separately. All three calculations are supplemented by formulae for contributions of the counterpart to the economic capital.	en
dc.format.extent	183017 bytes
dc.format.mimetype	application/pdf
dc.identifier.uri	http://hdl.handle.net/2003/20155
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-8054
dc.language.iso	en	de
dc.publisher	Universität Dortmund	de
dc.subject.ddc	310	de
dc.title	On Partial Defaults in Portfolio Credit Risk - A Poisson Mixture Model Approach	en
dc.type	Text	de
dc.type.publicationtype	report	en
dcterms.accessRights	open access

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