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Document type:
Zeitschriftenaufsatz 
Author(s):
Hross, S.; Olivares, P.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Tail Approximations in Credit Portfolios using Large Deviations Techniques 
Abstract:
In this paper, it is analyzed how Large Deviations (LD) techniques can be used for practical credit portfolio management. Applications include the internal risk management for a large credit portfolio, or the overall need to meet external requirements imposed by Basel II. For this purpose the paper provides fast and reliable methods for the computation of Value at Risk (VaR) and Conditional Value at Risk (CVaR) in general factor models using LD. Recovery rate (RR) is modelled as a random variabl...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Applied Mathematical Sciences 
Year:
2014 
Journal volume:
Journal issue:
22 
Pages contribution:
1071-1098 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Ja 
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