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Analytical Framework for Credit Portfolios

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  • Mikhail Voropaev
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    Abstract

    Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to individual transactions. The underlying model is the industry standard multi-factor Merton-type model with arbitrary valuation function at horizon (in contrast to the simplistic default-only case). High accuracy of the proposed analytical technique is demonstrated by benchmarking against Monte Carlo simulations.

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    File URL: http://arxiv.org/pdf/1007.5433
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1007.5433.

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    Date of creation: Jul 2010
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    Handle: RePEc:arx:papers:1007.5433

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    Web page: http://arxiv.org/

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