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KISS Approach to Credit Portfolio Modeling

by Mikhail Voropaev of the ING Bank

July 2011

Abstract: A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte Carlo simulations. The approach presented here may be of high interest to practitioners looking for transparent, intuitive, easy to implement and high performance credit portfolio model.

Keywords: analytical VaR, credit portfolio, capital allocation, multi-factor model

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Related reading: An Analytical Framework for Credit Portfolio Risk Measures