Calculating Value-at-Risk Contributions in CreditRisk+

DefaultRisk.com the web's biggest credit risk modeling resource.

Submit Your Paper

Fitch Ratings Jobs

[ Worldwide]

Post Your Résumé
For Recruiters

5^th Most Cited

An Introduction to Copulas -- 2nd Edition

An Introduction to Copulas - 2nd Ed.
by Roger B. Nelsen, Springer, January 13, 2006, Hardcover, 270 pages

Training Discounted for DefaultRisk.com visitors only:

The Mathematics of Credit Derivatives: The Essential Credit Modelling and Pricing Companion
by Philipp J. Schönbucher,
WBS Training, August 2003, DVD / Interactive CD-ROM

Sponsor:
Shop at Amazon.com and support DefaultRisk.com

Calculating Value-at-Risk Contributions in CreditRisk+

by Hermann Haaf of Commerzbank AG, and
Dirk Tasche of RiskLab Switzerland

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.

Books Referenced in this Paper: (what is this?)