CREDIT PORTFOLIO RISK: Shortfall: a tall of two parts - The authors show that the expected shortfall, when used in the conditional independence framework, has an elegant decomposition into systematic (risk-factor-driven) and unsystematic parts. The theory is compared and contrasted with the well-known, and analogous, decomposition for variance.
| Year of publication: |
2007
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|---|---|
| Authors: | Martin, Richard ; Tasche, Dirk |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 20.2007, 2, p. 84-89
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