JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS

Parameter Uncertainty in Credit Risk Portfolio Models

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 ...

Markov Chain Models of Portfolio Credit Risk

2 Continuous-Time Markov Chains 3 2.1 Time-homogeneous chains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 2.2 Time-inhomogeneous chains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.3 Embedded Discrete-Time Markov Chain . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2.4 Conditional Expectations . . . . . . . . . . . . . . . . . . ...

Risk 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...

Portfolio Credit Risk