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Titel:

Tail Approximations in Credit Portfolios using Large Deviations Techniques

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hross, S.; Olivares, P.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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
Zeitschriftentitel:
Applied Mathematical Sciences
Jahr:
2014
Band / Volume:
8
Heft / Issue:
22
Seitenangaben Beitrag:
1071-1098
Reviewed:
ja
Sprache:
en
TUM Einrichtung:
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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