Efficient risk measures calculations for generalized CreditRisk^+ models

DOI10.1142/S0219024921500126MaRDI QIDQ4994445zbMATH OpenOpenAlexFDO

Authors Zhenzhen Huang, Yue Kuen Kwok

Publication date 18 June 2021

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024921500126

zbMATH Keywords

check functionCreditRisk\(^+\) common background vector modelsexpected shortfallimportance samplingJohnson curve fittingsaddlepoint approximationvalue-at-risk

Mathematics Subject Classification ID

Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cites work

• Applying importance sampling for estimating coherent credit risk contributions
• CreditRisk\(^+\) in the banking industry.
• CreditRisk\(^+\) model with dependent risk factors
• Expected shortfall and beyond
• scientific article; zbMATH DE number 2151372 (Why is no real title available?)
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• scientific article; zbMATH DE number 2151377 (Why is no real title available?)
• scientific article; zbMATH DE number 2151378 (Why is no real title available?)
• scientific article; zbMATH DE number 3050737 (Why is no real title available?)
• Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
• Monte Carlo methods for value-at-risk and conditional value-at-risk: a review
• PROPERTIES OF DISTRIBUTIONS RESULTING FROM CERTAIN SIMPLE TRANSFORMATIONS OF THE NORMAL DISTRIBUTION
• Regression Quantiles
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint approximation for moment generating functions of truncated random variables
• Saddlepoint approximation methods in financial engineering
• Saddlepoint approximations for expectations and an application to CDO pricing
• Saddlepoint Approximations in Statistics
• Shortfall as a risk measure: properties, optimization and applications
• Systems of Frequency Curves
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• The Johnson System: Selection and Parameter Estimation

Cited in

(13)

• Efficient simulations for a Bernoulli mixture model of portfolio credit risk
• An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
• Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach
• Reliable quantification and efficient estimation of credit risk
• Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge
• scientific article; zbMATH DE number 5723918 (Why is no real title available?)
• Credit-Risk Modelling
• scientific article; zbMATH DE number 2151374 (Why is no real title available?)
• scientific article; zbMATH DE number 2151386 (Why is no real title available?)
• Ellipsoidal buffered area under the curve maximization model with variable selection in credit risk estimation
• Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models
• Simulation-analytical approach for calculating VaR contributions in credit portfolios
• Generalized CreditRisk^+ model and applications

Describes a project that uses

Uses Software

• AS 99
• CreditRisk+
• Johnson Curve

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