Credit Risk Contributions to Value-at-Risk and Expected Shortfall

Topics:
Financial Research
Tags:
Methodology
Source:
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Overview: This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall)contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed in finitely many steps. The methods are illustrated by numerical examples.

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Format: PDF | Size: 240KB | Date: Nov 2002 | Pages: 12

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