paper
Calculating Value-at-Risk contributions in CreditRisk+
Hermann Haaf, Dirk Tasche
Calculating Value-at-Risk contributions in CreditRisk+
Hermann Haaf, Dirk Tasche
paper2001-12-04English
risk managementarxiv
Description
Credit Suisse First Boston (CSFB) launched in 1997 the model CreditRisk+ which aims at calculating the loss distribution of a credit portfolio on the basis of a methodology from actuarial mathematics. Knowing the loss distribution, it is possible to determine quantile-based values-at-risk (VaRs) for the portfolio. An open question is how to attribute fair VaR contributions to the credits or loans forming the portfolio. One approach is to define the contributions as certain conditional expectatio...
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