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In Rememberance: World Trade Center (WTC)

Credit Risk Contributions to Value-at-Risk and Expected Shortfall

by Alexandre Kurth of UBS AG, and
Dirk Tasche of Deutsche Bundesbank

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.

Download paper (246K PDF) 12 pages

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