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Document type:
Zeitschriftenaufsatz 
Author(s):
Hauptmann, J.; Olivares, P.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Estimation of Risk Measures for Large Credit Portfolios 
Abstract:
In this paper saddlepoint techniques are used in the computation of risk measures for large market - to - market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy. We compare the efficiency of the saddlepoint approach with existing methods such as plain Monte Carlo simulation and large deviation theory. By measuring run time and accuracy of calculations of the Value at Risk and the conditional Value at Risk for different significanc...    »
 
Keywords:
Large Credit Portfolio, Mark-to-Market Model, Large Deviation, Saddlepoint Approximation, Conditional Value at Risk 
Intellectual Contribution:
Contribution to Practice 
Journal title:
Journal of Credit Risk 
Journal listet in FT50 ranking:
nein 
Year:
2014 
Journal volume:
10 
Journal issue:
Pages contribution:
3-37 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
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