Calculating credit risk capital charges with the one-factor model
| dc.creator | Emmer, Susanne | |
| dc.creator | Tasche, Dirk | |
| dc.date | 2003-02-20 | |
| dc.date | 2005-01-04 | |
| dc.date.accessioned | 2026-07-07T12:11:00Z | |
| dc.date.available | 2026-07-07T12:11:00Z | |
| dc.description | Even in the simple one-factor credit portfolio model that underlies the Basel II regulatory capital rules coming into force in 2007, the exact contributions to credit value-at-risk can only be calculated with Monte-Carlo simulation or with approximation algorithms that often involve numerical integration. As this may require a lot of computational time, there is a need for approximate analytical formulae. In this note, we develop formulae according to two different approaches: the granularity adjustment approach initiated by M. Gordy and T. Wilde, and a semi-asymptotic approach. The application of the formulae is illustrated with a numerical example. Keywords: One-factor model, capital charge, granularity adjustment, quantile derivative. | |
| dc.description | 15 pages, LaTeX with hyperref package, final version | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0302402 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0302402 | |
| dc.identifier | Journal of Risk 7, 2005, pp. 85-101 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/210095 | |
| dc.subject | Other Condensed Matter | |
| dc.subject | Risk Management | |
| dc.title | Calculating credit risk capital charges with the one-factor model | |
| dc.type | text |