Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach
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References listed on IDEAS
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More about this item
KeywordsCredit VaR; Portfolio credit risk; Economic capital; Analytical VaR contributions; Euler allocation; Harrel-Davis estimator;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-05 (All new papers)
- NEP-BAN-2012-06-05 (Banking)
- NEP-RMG-2012-06-05 (Risk Management)
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