English, Article edition: Capital allocation for credit portfolios with kernel estimators Dirk Tasche

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Capital allocation for credit portfolios with kernel estimators
Author
  • Dirk Tasche
Physical Description
  • article
Notes
  • Determining the contributions of sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often, economic capital is measured as the Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR contributions then have to be estimated from Monte Carlo samples. In the context of a partly continuous loss distribution (i.e. continuous except for a positive point mass on zero), we investigate how to combine kernel estimation methods with importance sampling to achieve more efficient (i.e. less volatile) estimation of VaR contributions.
  • Corporate risk management, Copulas, Applications to credit risk, Applications to default risk,
  • RePEc:taf:quantf:v:9:y:2009:i:5:p:581-595
Language
  • English
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