Measuring marginal risk contributions in credit portfolios
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Publication:5400661
DOI10.1080/14697688.2012.742203zbMath1282.91379OpenAlexW2053553308MaRDI QIDQ5400661
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
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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