Resource title

On partial defaults in portfolio credit risk: Comparing economic and regulatory view

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Resource description

Most credit portfolio models calculate the loss distribution of a portfolio consisting solely of performing counterparts. We develop two models that account for defaulted counterparts in the calculation of the economic capital. First, we model the portfolio of non-performing counterparts standalone. The second approach derives the integrated loss distribution for the non-performing and the performing portfolio. Both calculations are supplemented by formulae for contributions of the single counterpart to the economic capital. Calibrating the models allows for an impact study and a comparison with Basel II.

Resource author

Rafael WeiƟbach, Carsten von Lieres und Wilkau

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22635

Resource license

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