Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge
Noureddine Lehdili and Arshia Givi
| Year of publication: |
2018
|
|---|---|
| Authors: | Lehdili, Noureddine ; Givi, Arshia |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 7.2018, 3/4, p. 91-105
|
| Subject: | Fundamental review of trading book | credit risk | default risk charge | convex optimization | expected shortfall | value-at-risk | conditional probabilities | Bayes theorem | central limit theorem | multi-factor merton-type models | Vasicek model | Monte Carlo simulations | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomanagement | Risk management | Basler Akkord | Basel Accord |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3233/RDA-180042 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012174432