The VAR Approach: CreditMetrics and Other Models

The VAR Approach: CreditMetrics and Other Models

This chapter contains sections titled: Introduction The Concept of Value at Risk Capital Requirements Technical Issues and Problems The Portfolio Approach in CreditMetrics Summary Appendix 9.1: Calculating the Forward Zero Curve for Loan Valuation Appendix 9.2: Estimating Unexpected Losses Using Ext...

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Bibliographische Detailangaben
Format: Buchkapitel
Sprache:eng
Schlagworte:
bank for international settlements
European Union
loss given default
standard and poor's
VAR Approach
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Beschreibung
Zusammenfassung:This chapter contains sections titled: Introduction The Concept of Value at Risk Capital Requirements Technical Issues and Problems The Portfolio Approach in CreditMetrics Summary Appendix 9.1: Calculating the Forward Zero Curve for Loan Valuation Appendix 9.2: Estimating Unexpected Losses Using Extreme Value Theory Appendix 9.3: The Simplified Two‐Asset Subportfolio Solution to the N‐Asset Portfolio Case Appendix 9.4: CreditMetrics and Swap Credit Risk
DOI:10.1002/9781118267981.ch9