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

credit sign in to follow this
capital sign in to follow this
allocation sign in to follow this
portfolio sign in to follow this
optimization sign in to follow this
expected sign in to follow this
shortfall sign in to follow this
importance sign in to follow this
sampling sign in to follow this
Merton sign in to follow this
Monte-Carlo 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
Sensible and Efficient Capital Allocation for Credit Portfolios
Company: Risk
Company Url: Click here to open
Year Of Publication: 2004
Month Of Publication: January
Pages: S19-S24
Download Count: 1201
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 5-24-2005
Publisher: Administrator
Summary
The expected shortfall and volatility capital allocation schemes are analyzed from a formalmathematical perspective and in a simulation study. We argue that expected shortfallis the superior measure for the allocation of capital in credit portfolios. The simulationis based on a new importance sampling algorithm for Merton-type models, which greatlyincreases the precision of Monte-Carlo estimates.
Author(s)
Kalkbrener, Michael Sign in to follow this author
Lotter, Hans Sign in to follow this author
Overbeck, Ludger Sign in to follow this author
This document's citation network:
Similar Documents:
Documents that cite this work:
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