A rule of thumb for the economic capital of a large credit portfolio

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.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.identifier.uri	http://hdl.handle.net/2003/5310
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-15143
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

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