Measuring marginal risk contributions in credit portfolios
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References listed on IDEAS
- Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
- Dirk Tasche, 2009. "Capital allocation for credit portfolios with kernel estimators," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 581-595.
- Sandro Merino & Mark Nyfeler, 2004. "Applying importance sampling for estimating coherent credit risk contributions," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 199-207.
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- Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, Open Access Journal, vol. 6(4), pages 1-28, December.
- Takaaki Koike & Marius Hofert, 2019. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Papers 1909.11794, arXiv.org, revised May 2020.
- Targino, Rodrigo S. & Peters, Gareth W. & Shevchenko, Pavel V., 2015.
"Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models,"
Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 206-226.
- Rodrigo S. Targino & Gareth W. Peters & Pavel V. Shevchenko, 2014. "Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models," Papers 1410.1101, arXiv.org, revised Feb 2015.
- Takaaki Koike & Marius Hofert, 2020. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Risks, MDPI, Open Access Journal, vol. 8(1), pages 1-33, January.
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