Basel II Second Pillar : An Analytical VaR with Contagion and Sectorial Risks

This paper deals with the effects of concentration (single name and sectoral) and contagion risk on credit portfolios. Results are obtained for the Value at Risk (VaR) of the portfolio loss distribution, in the analytical framework originally developed by Vasicek in 1991. VaR is expressed as a sum of terms - the first contribution represents the VaR of a hypothetical single-factor homogeneous portfolio, the remaining terms are corrections due to contagion, imperfect granularity and multiple industry-geographic sectors. A detailed numerical analysis is also presented

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Year of publication:	2010
Authors:	Bonollo, Michele
Other Persons:	Mosconi, Paola (contributor) ; Mercurio, Fabio (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Basler Akkord \| Basel Accord \| VAR-Modell \| VAR model \| Risikomanagement \| Risk management \| Bankrisiko \| Bank risk \| Risiko \| Risk \| Risikomaß \| Risk measure \| Theorie \| Theory \| Ansteckungseffekt \| Contagion effect \| Schock \| Shock \| Kreditrisiko \| Credit risk
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: The IUP Journal of Financial Risk Management, Vol. 7, Nos. 1 & 2, pp. 7-23, March & June 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 24, 2010 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013143103