Calculating credit risk capital charges with the one-factor model
نویسندگان
چکیده
منابع مشابه
Calculating Credit Risk Capital Charges with the One-Factor Model
Even in the simple Vasicek one-factor credit portfolio model, the exact contributions to credit value-at-risk cannot be calculated without Monte-Carlo simulation. As this may require a lot of computational time, there is a need for approximate analytical formulae. In this note, we develop formulae according to two different approaches: the granularity adjustment approach initiated by M. Gordy a...
متن کاملCalculating credit risk capital charges with the Vasicek model
Even in the simple Vasicek credit portfolio model, the exact contributions to credit value-at-risk cannot be calculated without Monte-Carlo simulation. As this may require a lot of computational time, there is a need for approximative analytical formulae. In this note, we develop formulae according to two different approaches: the granularity adjustment approach initiated by M. Gordy and T. Wil...
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ژورنال
عنوان ژورنال: The Journal of Risk
سال: 2005
ISSN: 1465-1211
DOI: 10.21314/jor.2005.110