Weissbach, Rafael2004-12-062004-12-062004http://hdl.handle.net/2003/531010.17877/DE290R-15143We 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.enUniversität Dortmundportfolio credit riskcounting processeconomic capitaloperational riskmartingalemixture distributioncompoundingfrailty000A rule of thumb for the economic capital of a large credit portfolioreport