Allocation of economic capital in loan portfolios (Q4518931)
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scientific article; zbMATH DE number 1538071
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| English | Allocation of economic capital in loan portfolios |
scientific article; zbMATH DE number 1538071 |
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8 April 2001
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capital allocation
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risk measures
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portfolios
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value at risk
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credit risk
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0.86159503
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0.8379262
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0.8253749
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0.8214368
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0.8202591
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Allocation of economic capital in loan portfolios (English)
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This paper presents and compares three methods for allocating risk capital in a portfolio of loans: variance/covariance analysis, marginal economic capital, and conditional expected shortfall or mean excess. Since only the first method permits analytic solutions, the comparison is done by Monte Carlo simulations. For the entire collection see [Zbl 0943.00038].
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