Capital allocation for credit portfolios with kernel estimators

DOI10.1080/14697680802620599zbMath1176.91159arXivmath/0612470OpenAlexW2008348321MaRDI QIDQ3645199

Dirk Tasche

Publication date: 16 November 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0612470

zbMATH Keywords

copulasapplications to default riskcorporate risk managementapplications to credit risk

Mathematics Subject Classification ID

Density estimation (62G07) Statistical methods; risk measures (91G70) Credit risk (91G40)

Related Items (7)

Simulating Risk Contributions of Credit Portfolios ⋮ Model-free computation of risk contributions in credit portfolios ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ Measuring marginal risk contributions in credit portfolios ⋮ Factor risk quantification in annuity models ⋮ Estimation of risk contributions with MCMC ⋮ Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk

Cites Work

• Importance Sampling for Portfolio Credit Risk
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

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