Calculating credit risk capital charges with the Vasicek model
نویسنده
چکیده
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. Wilde1, and a semi-asymptotic approach.
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