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https://hdl.handle.net/10419/22597
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Weißbach, Rafael | en |
dc.contributor.author | von Lieres und Wilkau, Carsten | en |
dc.date.accessioned | 2009-01-29T15:03:10Z | - |
dc.date.available | 2009-01-29T15:03:10Z | - |
dc.date.issued | 2005 | - |
dc.identifier.uri | http://hdl.handle.net/10419/22597 | - |
dc.description.abstract | Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts in the calculation of the economic capital. Two of the approaches are based on the Poisson mixture model CreditRisk+ and derive a loss distribution for an integrated portfolio. The third method treats the portfolio of non-performing exposure separately. All three calculations are supplemented by formulae for contributions of the counterpart to the economic capital. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmund | en |
dc.relation.ispartofseries | |aTechnical Report |x2005,06 | en |
dc.subject.jel | G18 | en |
dc.subject.jel | G11 | en |
dc.subject.jel | C51 | en |
dc.subject.jel | G33 | en |
dc.subject.ddc | 519 | en |
dc.subject.keyword | Portfolio credit risk | en |
dc.subject.keyword | CreditRisk+ | en |
dc.subject.keyword | Recovery | en |
dc.subject.stw | Kreditrisiko | en |
dc.subject.stw | Value at Risk | en |
dc.subject.stw | Portfolio-Management | en |
dc.subject.stw | Eigenkapital | en |
dc.subject.stw | Theorie | en |
dc.title | On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 479091552 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb475:200506 | en |
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