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Capital allocation for credit portfolios with kernel estimators
[Zeitschriftenartikel]
Abstract Determining contributions by 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 Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in... mehr
Determining contributions by 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 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.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Finanzwirtschaft, Rechnungswesen
Methode
Theorieanwendung
Freie Schlagwörter
Credit Risk, Financial Simulation, Monte Carlo Methods, Risk Measures
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 581-595
Zeitschriftentitel
Quantitative Finance, 9 (2009) 5
DOI
https://doi.org/10.1080/14697680802620599
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)