Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge
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Publication:3119670
DOI10.3233/RDA-180042zbMath1409.91264WikidataQ129225362 ScholiaQ129225362MaRDI QIDQ3119670
Noureddine Lehdili, Arshia Givi
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-180042
convex optimization; Monte Carlo simulations; central limit theorem; credit risk; Bayes theorem; conditional probabilities; Vasicek model; expected shortfall; Value-at-Risk; default risk charge; fundamental review of trading book; multi-factor Merton-type models