A rule of thumb for the economic capital of a large credit portfolio
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Universität Dortmund
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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.
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portfolio credit risk, counting process, economic capital, operational risk, martingale, mixture distribution, compounding, frailty