An analytical framework for credit portfolio risk measures

An analytical framework for credit portfolio risk measures

There is increasing demand for fast and consistent economic capital calculation and allocation techniques. Using industry standard Monte Carlo simulations for portfolio-level risk quantification requires a considerable amount of time and computer power. For risk concentration identification, risk-adjusted pricing and portfolio optimisation, portfolio-wide economic capital needs to be allocated down to individual transactions.

This is even more challenging from both the methodological and

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