JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS
نویسندگان
چکیده
منابع مشابه
Risk Contributions of Systematic Factors in Portfolio Credit Risk Models
Determining contributions to overall portfolio risk is an important topic in financial risk management. At the level of positions (instruments and subportfolios), this problem has been well studied, and a significant theory has been built, in particular around the calculation of marginal contributions. In this paper, we consider the problem of determining the contributions to portfolio risk of ...
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متن کاملRisk factor contributions in portfolio credit risk models
Determining contributions to overall portfolio risk is an important topic in risk management. For positions (instruments and sub-portfolios), this problem has been well studied, and a significant theory built, around the calculation of marginal contributions. We consider the problem of determining the contributions to portfolio risk of risk factors. This cannot be addressed through an immediate...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2014
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024914500393