On partial defaults in portfolio credit risk: Comparing economic and regulatory view

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dc.contributor.authorvon Lieres und Wilkau, Carsten
dc.contributor.authorWeißbach, Rafael
dc.date.accessioned2006-01-25T12:55:45Z
dc.date.available2006-01-25T12:55:45Z
dc.date.issued2006-01-25T12:55:45Z
dc.description.abstractMost 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, G33en
dc.description.abstractMost 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, G33de
dc.format.extent163161 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.urihttp://hdl.handle.net/2003/22139
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-2640
dc.language.isoen
dc.relation.ispartofseriesSonderforschungsbereich 475;02/06
dc.subjectBasel IIen
dc.subjectCredit portfolio modelen
dc.subjectImpact studyen
dc.subjectLoss distributionen
dc.subjectNon-performing portfolioen
dc.subjectPerforming portfolioen
dc.subject.ddc004
dc.titleOn partial defaults in portfolio credit risk: Comparing economic and regulatory viewen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access
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