Capital allocation for credit portfolios with kernel estimators

DOI10.1080/14697680802620599zbMATH Open1176.91159arXivmath/0612470OpenAlexW2008348321MaRDI QIDQ3645199FDOQ3645199

Authors: Dirk Tasche 

Publication date: 16 November 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Abstract: Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR contributions then have to be estimated from Monte Carlo samples. In the context of a partly continuous loss distribution (i.e. continuous except for a positive point mass on zero), we investigate how to combine kernel estimation methods with importance sampling to achieve more efficient (i.e. less volatile) estimation of VaR contributions.

Full work available at URL: https://arxiv.org/abs/math/0612470

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zbMATH Keywords

copulasapplications to default riskcorporate risk managementapplications to credit risk

Mathematics Subject Classification ID

Density estimation (62G07) Statistical methods; risk measures (91G70) Credit risk (91G40)

Cites Work

• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• Importance sampling for portfolio credit risk

Cited In (16)

• Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
• Estimating the VaR-induced Euler allocation rule
• Factor risk quantification in annuity models
• Measuring marginal risk contributions in credit portfolios
• Simulating risk contributions of credit portfolios
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• Estimation of risk contributions with MCMC
• Efficient frontier cutoff policies in credit portfolios
• Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
• Monte Carlo Methods for Economic Capital
• Justification of per-unit risk capital allocation in portfolio credit risk models
• Title not available (Why is that?)
• On the computation of the capital multiplier in the Fortis credit economic capital model
• Model-free computation of risk contributions in credit portfolios
• Estimating sensitivities of portfolio credit risk using Monte Carlo
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