Credit portfolios : What defines risk horizons and risk measurement?

Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to measure risk adequately in a multi period context, we then extend the coherent expected shortfall to time-conditional expected shortfall measure (TES).

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Year of publication:	2005-06-04
Authors:	Ebnöther, Silvan ; Vanini, Paolo
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Value at Risk \| Risikomanagement \| risk management \| Portfoliomanagement \| portfolio management \| Risikomessung

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Extent:	321536 bytes 17 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 221 (2005)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; E22 - Capital; Investment (including Inventories); Capacity ; G18 - Government Policy and Regulation ; G21 - Banks; Other Depository Institutions; Mortgages ; G31 - Capital Budgeting; Investment Policy ; Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

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