Credit Portfolio Modelling, Marginal Risk Contributions, and Granularity Adjustment

This paper first provides a simple but very general framework for credit portfolio modellingwhich is based on the distinction between systematic and unsystematic risk. Unsystematicor borrower-specific risk vanishes through diversification in a very large, infinitelyfine-grained portfolio. The framework contains typical models like CreditRisk+and CreditMetrics as special cases. An analysis of marginal risk contributions is thendone which also includes a theoretical formula for the granularity adjustment in a"lumpy" credit portfolio.

MoreLess

Year of publication:	2002-06-14
Authors:	Rau-Bredow, Hans
Publisher:	Institut für Bank- und Kreditwirtschaft <Würzburg>
Subject:	Kreditwesen \| Bank \| Portfolio \| Ausfallrisiko \| Kreditrisiko

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

1. Introduction
2. A general credit portfolio model
3. Diversification
4. Marginal risk contributions
4.1 A general result
4.2 One-factor model
4.3 Granularity adjustment in a one-factor model
5. Conclusion