Analysis of downgrade risk in credit portfolios with self-exciting intensity model
نویسندگان
چکیده
منابع مشابه
Measuring Marginal Risk Contributions in Credit Portfolios
We consider the problem of decomposing the credit risk in a portfolio into a sum of risk contributions associated with individual obligors or transactions. For some standard measures of risk — including value-at-risk and expected shortfall — the total risk can be usefully decomposed into a sum of marginal risk contributions from individual obligors. Each marginal risk contribution is the condit...
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ژورنال
عنوان ژورنال: JSIAM Letters
سال: 2011
ISSN: 1883-0609,1883-0617
DOI: 10.14495/jsiaml.3.93