Credit Risk Contributions to Value-at-Risk and Expected Shortfall
by Alexandre Kurth of UBS AG, and
November 22, 2002
Abstract: This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed in finitely many steps. The methods are illustrated by numerical examples.
Published in: RISK, Vol. 16, No. 3. (March 2003), pp. 84-88.