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A Rule of Thumb for the Economic Capital of a Large Credit Portfolio
Company: University of Dortmund
Year Of Publication: 2004
Month Of Publication: November
Pages: 25
Download Count: 905
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 1-20-2005
Publisher: Administrator
Summary
We derive approximate formulae for the credit value-at-risk and the economiccapital of a large credit portfolio. The representation allows to changethe risk horizon quickly and avoids simulation or numerical procedures. ThePoisson mixture model is equivalent to CreditRisk+ and uses the same parameters.
Author(s)
Weissbach, Rafael Sign in to follow this author
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