DefaultRisk.com the web's biggest credit risk modeling resource. |  |
|
|
| An Analytical Framework for Credit Portfolio Risk Measures by Mikhail Voropaev of ING Bank May 2011 Abstract: Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to individual transactions. The underlying model is the industry standard multi-factor Merton-type model with arbitrary valuation function at horizon (in contrast to the simplistic default-only case). High accuracy of the proposed analytical technique is demonstrated by benchmarking against Monte Carlo simulations. Keywords: analytical VaR, credit portfolio, capital allocation, multi-factor model. Published in: RISK, Vol. 24, No. 5, (May 2011), pp. 72-78. Previously titled: Analytical Framework for Credit Portfolios --and before that-- Analytical Framework for Credit Portfolios, Part I: Systematic Risk |
