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https://hdl.handle.net/10419/37025
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ebert, Sebastian | en |
dc.contributor.author | Lütkebohmert, Eva | en |
dc.date.accessioned | 2009-08-17 | - |
dc.date.accessioned | 2010-07-29T10:08:34Z | - |
dc.date.available | 2010-07-29T10:08:34Z | - |
dc.date.issued | 2009 | - |
dc.identifier.uri | http://hdl.handle.net/10419/37025 | - |
dc.description.abstract | Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversi?ed away. The impact of undiversi?ed idiosyncratic risk on portfolio Value-at-Risk can be quanti?ed via a granularity adjustment (GA). We provide an analytic formula for the GA in an extended single- factor CreditRisk+ setting incorporating double default e?ects. It accounts for guarantees and their e?ect of reducing credit risk in the portfolio. Our general GA very well suits for application under Pillar 2 of Basel II as the data inputs are drawn from quantities already required for the calculation of IRB capital charges. | en |
dc.language.iso | eng | en |
dc.publisher | |aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonn | en |
dc.relation.ispartofseries | |aBonn Econ Discussion Papers |x10/2009 | en |
dc.subject.jel | G31 | en |
dc.subject.jel | G28 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | analytic approximation | en |
dc.subject.keyword | Basel II | en |
dc.subject.keyword | counterparty risk | en |
dc.subject.keyword | double default | en |
dc.subject.keyword | granularity adjustment | en |
dc.subject.keyword | IRB approach | en |
dc.subject.keyword | securitization | en |
dc.subject.stw | Kreditrisiko | en |
dc.subject.stw | Kreditwürdigkeit | en |
dc.subject.stw | Basel II | en |
dc.subject.stw | Portfolio-Management | en |
dc.subject.stw | Kreditsicherung | en |
dc.subject.stw | Securitization | en |
dc.subject.stw | Theorie | en |
dc.title | Treatment of Double Default Effects within the Granularity Adjustment for Basel II | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 607069252 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bonedp:102009 | - |
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