Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

credit sign in to follow this
Basel sign in to follow this
regulatory sign in to follow this
capital sign in to follow this
expected sign in to follow this
shortfall sign in to follow this
marginal sign in to follow this
contribution sign in to follow this
portfolio sign in to follow this
Categories:

VaR Uses sign in to follow this
--Credit Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Risk Contributions in an Asymptotic Multi-factor Framework
Company: Deutsche Bundesbank
Year Of Publication: 2005
Month Of Publication: May
Pages: 22
Download Count: 798
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-21-2005
Publisher: Administrator
Summary
So far, regulatory capital requirements for credit risk portfolios are calculated in a bottomupapproach by determining the requirements at asset level and then adding up them. Incontrast, economic capital for a credit risk portfolio is calculated for the portfolio as a wholeand then decomposed into risk contributions of assets or sub-portfolios for, e.g., diagnosticpurposes like identifying risk concentrations. In the “Asymptotic Single Risk Factor” modelthat underlies the most important part of the “Basel II Accord”, bottom-up and top-downapproach yield identical results. However, the model fails in detecting exposure concentrationsand recognizing diversification effects. We investigate multi-factor extensions of theASRF model and derive exact formulae for the risk contributions to Value-at-Risk and ExpectedShortfall. As an application of the risk contribution formulae we introduce a newconcept for a diversification index. The use of this new index is illustrated with an examplecalculated with a two-factor model. The results with this model indicate that there can bea substantial reduction of risk contributions by diversification effe
Author(s)
Tasche, Dirk Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile