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Capital allocation for credit portfolios with kernel estimators

[Zeitschriftenartikel]

Tasche, Dirk

Zitationshinweis

Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221436

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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 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.
Klassifikation Finanzwirtschaft, Rechnungswesen; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
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 http://dx.doi.org/10.1080/14697680802620599
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)
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