Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher
Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study
Xinzheng Huang, Cornelis W. Oosterlee, Mâcé Mesters
Abstract
ABSTRACT
We compare various numerical methods for the estimation of the VaR and the marginal VaR contribution (VaRC) in the Vasicek one-factor portfolio credit loss model. The methods we investigate are the normal approximation, the saddlepoint approximation, a simplified saddlepoint approximation and importance sampling. We investigate each method in terms of speed, accuracy and robustness and in particular explore their abilities of dealing with exposure concentration.
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Copyright Infopro Digital Limited. All rights reserved.
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