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KISS approach to credit portfolio modeling

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  • Mikhail Voropaev
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    Abstract

    A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte Carlo simulations. The approach presented here may be of high interest to practitioners looking for transparent, intuitive, easy to implement and high performance credit portfolio model.

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    File URL: http://arxiv.org/pdf/1107.2164
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    Paper provided by arXiv.org in its series Papers with number 1107.2164.

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    Date of creation: Jul 2011
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    Handle: RePEc:arx:papers:1107.2164

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    Web page: http://arxiv.org/

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    1. Dirk Tasche, 2007. "Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle," Papers 0708.2542, arXiv.org, revised Jun 2008.
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