We derive approximate formulae for the credit value-at-risk and the economic capital of a large credit portfolio. The representation allows to change the risk horizon quickly and avoids simulation or numerical procedures. The Poisson mixture model is equivalent to CreditRisk and uses the same...

The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...