@techreport{Weibach2005Partial,
abstract = {Most credit portfolio models exclusively calculate the loss distribution for a
portfolio of performing counterparts. Conservative default definitions cause
considerable insecurity about the loss for a long time after the default. We
present three approaches to account for defaulted counterparts in the calculation of the economic capital. Two of the approaches are based on the
Poisson mixture model CreditRisk+ and derive a loss distribution for an integrated portfolio. The third method treats the portfolio of non-performing
exposure separately. All three calculations are supplemented by formulae
for contributions of the counterpart to the economic capital.},
author = {Rafael Wei\ss{}bach and Carsten von Lieres und Wilkau},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G18; G11; C51; G33; 330; Portfolio credit risk; CreditRisk+; Recovery; Kreditrisiko; Value at Risk; Portfolio-Management; Eigenkapital; Theorie},
language = {eng},
number = {2005,06},
title = {On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach},
type = {Technical Report / Universit\"{a}t Dortmund, SFB 475 Komplexit\"{a}tsreduktion in Multivariaten Datenstrukturen},
url = {http://hdl.handle.net/10419/22597},
year = {2005}
}
