Contributions to credit risk
Optimisation of credit portfolios requires that risk contributions be quantified. However, there has been disagreement over which of three popular tail risk measures should be used. Here, Alexandre Kurth and Dirk Tasche offer a way forward, showing how to calculate all three measures in the context of CreditRisk+, and then applying the calculation to a set of sample portfolios, with interesting results.
Acerbi C and D Tasche, 2002 On the coherence of expected shortfall. Journal of Banking & Finance 26(7), pages 1,487–1,503.
Artzner P, F Delbaen, J-M Eber and D Heath, 1999. Coherent measures of risk. Mathematical Finance 9(3), pages 203–228.
Bürgisser P, A Kurth and A Wagner, 2001. Incorporating severity variations into credit risk. Journal of Risk 3(4), pages 5–31.
CSFB, 1997. CreditRisk+: a credit risk management framework.
Gouriéroux C, J-P Laurent and O
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