On partial defaults in portfolio credit risk: Comparing economic and regulatory view
| dc.contributor.author | von Lieres und Wilkau, Carsten | |
| dc.contributor.author | Weißbach, Rafael | |
| dc.date.accessioned | 2006-01-25T12:55:45Z | |
| dc.date.available | 2006-01-25T12:55:45Z | |
| dc.date.issued | 2006-01-25T12:55:45Z | |
| dc.description.abstract | Most 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, G33 | en |
| dc.description.abstract | Most 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, G33 | de |
| dc.format.extent | 163161 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | http://hdl.handle.net/2003/22139 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-2640 | |
| dc.language.iso | en | |
| dc.relation.ispartofseries | Sonderforschungsbereich 475;02/06 | |
| dc.subject | Basel II | en |
| dc.subject | Credit portfolio model | en |
| dc.subject | Impact study | en |
| dc.subject | Loss distribution | en |
| dc.subject | Non-performing portfolio | en |
| dc.subject | Performing portfolio | en |
| dc.subject.ddc | 004 | |
| dc.title | On partial defaults in portfolio credit risk: Comparing economic and regulatory view | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |