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dc.contributor.authorWeißbach, Rafaelen_US
dc.contributor.authorvon Lieres und Wilkau, Carstenen_US
dc.date.accessioned2009-01-29T15:03:10Z-
dc.date.available2009-01-29T15:03:10Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/22597-
dc.description.abstractMost 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.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesTechnical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2005,06en_US
dc.subject.jelG18en_US
dc.subject.jelG11en_US
dc.subject.jelC51en_US
dc.subject.jelG33en_US
dc.subject.ddc330en_US
dc.subject.keywordPortfolio credit risken_US
dc.subject.keywordCreditRisk+en_US
dc.subject.keywordRecoveryen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwValue at Risken_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwEigenkapitalen_US
dc.subject.stwTheorieen_US
dc.titleOn Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approachen_US
dc.typeWorking Paperen_US
dc.identifier.ppn479091552en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb475:200506-
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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