An analytical framework for credit portfolio risk measures
Monte Carlo simulation of credit-risky portfolios can be computationally intensive when calculating risk measures. Here, Mikhail Voropaev builds an analytical framework for calculating value-at-risk and expected shortfall for these portfolios that significantly reduces the required computation
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
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