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dc.contributor.authorEbert, Sebastianen_US
dc.contributor.authorLütkebohmert, Evaen_US
dc.date.accessioned2009-08-17en_US
dc.date.accessioned2010-07-29T10:08:34Z-
dc.date.available2010-07-29T10:08:34Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/37025-
dc.description.abstractWithin the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversified away. The impact of undiversified idiosyncratic risk on portfolio Value-at-Risk can be quantified via a granularity adjustment (GA). We provide an analytic formula for the GA in an extended singlefactor CreditRisk setting incorporating double default effects. It accounts for guarantees and their effect of reducing credit risk in theportfolio. 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_US
dc.language.isoengen_US
dc.publisherGraduate School of Economics Bonnen_US
dc.relation.ispartofseriesBonn econ discussion papers 2009,10en_US
dc.subject.jelG31en_US
dc.subject.jelG28en_US
dc.subject.ddc330en_US
dc.subject.keywordanalytic approximationen_US
dc.subject.keywordBasel IIen_US
dc.subject.keywordcounterparty risken_US
dc.subject.keyworddouble defaulten_US
dc.subject.keywordgranularity adjustmenten_US
dc.subject.keywordIRB approachen_US
dc.subject.keywordsecuritizationen_US
dc.subject.stwKreditrisikoen_US
dc.subject.stwKreditwürdigkeiten_US
dc.subject.stwBasel IIen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwKreditsicherungen_US
dc.subject.stwSecuritizationen_US
dc.subject.stwTheorieen_US
dc.titleTreatment of double default effects within the granularity adjustment for Basel IIen_US
dc.typeWorking Paperen_US
dc.identifier.ppn607069252en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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