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  2. Technische Universität Dortmund
  3. Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund
  4. Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund
Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22571 
Title: 

A rule of thumb for the economic capital of a large credit portfolio

Authors: 
Weißbach, Rafael
Year of Publication: 
2004
Series/Report no.: 
Technical Report No. 2004,58
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
We derive approximate formulae for the credit value-at-risk and the economic capital of a large credit portfolio. The representation allows to change the risk horizon quickly and avoids simulation or numerical procedures. The Poisson mixture model is equivalent to CreditRisk and uses the same parameters.
Document Type: 
Working Paper
Appears in Collections:
Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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