Measuring marginal risk contributions in credit portfolios

DOI10.1080/14697688.2012.742203zbMath1282.91379OpenAlexW2053553308MaRDI QIDQ5400661

Thomas Siller

Publication date: 4 March 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.742203

zbMATH Keywords

Monte Carlo methodsnumerical simulationcredit riskrisk measuresfinancial modelling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Credit risk (91G40)

Related Items (5)

Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ Avoiding zero probability events when computing value at risk contributions ⋮ Measuring marginal risk contributions in credit portfolios ⋮ Tail dependence and heavy tailedness in extreme risks ⋮ Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models

Cites Work

• Coherent Measures of Risk
• Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
• An axiomatic characterization of capital allocations of coherent risk measures
• Capital allocation for credit portfolios with kernel estimators
• Measuring marginal risk contributions in credit portfolios
• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION

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