Resource title

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

Resource image

image for OpenScout resource :: A rule of thumb for the economic capital of a large credit portfolio

Resource description

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.

Resource author

Rafael WeiƟbach

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22571

Resource license

Adapt according to the presented license agreement and reference the original author.