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Computation of VaR and VaR Contribution in the Vasicek Portfolio Credit Loss Model: A comparative study
Company: Journal of Credit Risk
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: September
Pages: 75-96
Download Count: 17
View Count: 2106
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 9-11-2010
Publisher: Administrator
We compare various numerical methods for the estimation of the VaR and
the marginal VaR contribution (VaRC) in the Vasicek one-factor portfolio
credit loss model. The methods we investigate are the normal approximation, the saddlepoint approximation, a simplified saddlepoint approximation and importance sampling. We investigate each method in terms of speed, accuracy and robustness and in particular explore their abilities of dealing with exposure concentration.
Huang, Xinzheng Sign in to follow this author
Oosterlee, Cornelis W. Sign in to follow this author
Mesters, Macé Sign in to follow this author
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