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

expected shortfallimportance samplingsaddlepoint approximationvalue-at-riskcheck functionCreditRisk\(^+\) common background vector modelsJohnson curve fitting

Mathematics Subject Classification ID

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

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Cites work

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• Applying importance sampling for estimating coherent credit risk contributions
• CreditRisk\(^+\) in the banking industry.
• CreditRisk\(^+\) model with dependent risk factors
• Expected shortfall and beyond
• Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
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• PROPERTIES OF DISTRIBUTIONS RESULTING FROM CERTAIN SIMPLE TRANSFORMATIONS OF THE NORMAL DISTRIBUTION
• Regression Quantiles
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
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• Saddlepoint Approximations in Statistics
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• Saddlepoint approximation methods in financial engineering
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Cited in

(12)

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

Describes a project that uses

Uses Software

• AS 99
• CreditRisk+
• Johnson Curve

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