منابع مشابه
Granularity Adjustment for Mark-to-Market Credit Risk Models
The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA methodology can be applied to any risk-factor model of portfolio risk. Thus far, however, analytical results have been derived only for simple models of actuarial loss, i.e., credit loss due to defaul...
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The granularity principle [Gordy (2003)] allows for closed form expressions of the risk measures of a large portfolio at order 1/n, where n is the portfolio size. The granularity principle yields a decomposition of such risk measures that highlights the different effects of systematic and unsystematic risks. This paper derives the granularity adjustment of the Value-at-Risk (VaR), the Expected ...
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The credit value-at-risk model underpinning the Basel II Internal Ratings-Based approach assumes that idiosyncratic risk has been diversified away fully in the portfolio, so that economic capital depends only on systematic risk contributions. We develop a simple methodology for approximating the effect of undiversified idiosyncratic risk on VaR. The supervisory review process (Pillar 2) of the ...
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Kristen Campbell, Rensselær Polytechnic Institute Yun Chen, University of Delaware David A. Edwards, University of Delaware Yanyan Li, University of Delaware Sean O’Connell, Rensselær Polytechnic Institute Ryshon Patterson, Rensselær Polytechnic Institute Gilberto Schleiniger, University of Delaware Jodi Schneider, University of Texas at Austin Fabricio Tourrucoo, University of Delaware Gehua Y...
متن کاملCredit Valuation Adjustment
Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the cred...
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ژورنال
عنوان ژورنال: Journal of Financial Risk Management
سال: 2016
ISSN: 2167-9533,2167-9541
DOI: 10.4236/jfrm.2016.54023