Calculating Value-at-Risk Contributions in CreditRisk+
by Hermann Haaf of Commerzbank AG, and
February 28, 2002
Abstract: 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 expectations. We develop an algorithm for the calculations involved in this approach. This algorithm can be adapted for computing the contributions to the portfolio Expected Shortfall (ES).
Published in: "Credit Portfolio Measurements", GARP Risk Review, Issue 07, (Jul/Aug 2002), pp. 43-47.