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Title:On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach PDF Logo
Authors:Weißbach, Rafael
von Lieres und Wilkau, Carsten
Issue Date:2005
Series/Report no.:Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2005,06
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.
Subjects:Portfolio credit risk
CreditRisk+
Recovery
JEL:G18
G11
C51
G33
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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