Resource title

On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach

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Resource description

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.

Resource author

Rafael WeiƟbach, Carsten von Lieres und Wilkau

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22597

Resource license

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