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

credit risk sign in to follow this
saddlepoint approximation sign in to follow this
marginal contribution sign in to follow this
default sign in to follow this
Vasicek model sign in to follow this

VaR Uses sign in to follow this
--Credit Risk sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
Higher-Order Saddlepoint Approximations in the Vasicek Portfolio Credit Loss Model
Company: Journal of Computational Finance
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: September
Pages: 93-113
Download Count: 1
View Count: 1835
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 9-11-2010
Publisher: Administrator
This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value-at-Risk (VaR), the risk measure chosen in the Basel II Accord for the evaluation of capital requirement, can then be found by inverting the loss distribution. The VaR contribution (VaRC), expected shortfall (ES) and ES contribution (ESC) can all be calculated accurately. Saddlepoint approximation is well known to provide good approximations to very small tail probabilities, which makes it a very suitable technique in the context of portfolio credit loss. The portfolio credit model we employ is the Vasicek one-factor model, which has an analytical solution if the portfolio is well diversified. The Vasicek asymptotic formula fails, however, when the portfolio is dominated by a few loans much larger than the rest. We show that saddlepoint approximation is able to handle such exposure concentration. We also point out that the saddlepoint appr
Huang, Xinzheng Sign in to follow this author
Oosterlee, Cornelis W. Sign in to follow this author
van der Weide, Hans 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?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile