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On Partial Defaults in Portfolio Credit Risk
Year Of Publication: 2005
Month Of Publication: May
Pages: 27
Download Count: 547
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 6-1-2006
Publisher: Administrator
Summary
Most credit portfolio models exclusively calculate the loss distribution for aportfolio of performing counterparts. Conservative default definitions causeconsiderable insecurity about the loss for a long time after the default. Wepresent three approaches to account for defaulted counterparts in the calculationof the economic capital. Two of the approaches are based on thePoisson mixture model CreditRisk+ and derive a loss distribution for an integratedportfolio. The third method treats the portfolio of non-performingexposure separately. All three calculations are supplemented by formulaefor contributions of the counterpart to the economic capital.
Author(s)
Weissbach, Rafael Sign in to follow this author
Lieres und Wilkau, C von Sign in to follow this author
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