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Rheinische Friedrich-Wilhelms-Universität Bonn >
Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/37029
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Lütkebohmert, Eva | | en_US |
| dc.date.accessioned | | 2009-08-17 | | en_US |
| dc.date.accessioned | | 2010-07-29T10:08:43Z | | - |
| dc.date.available | | 2010-07-29T10:08:43Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/37029 | | - |
| dc.description.abstract | | We show that the saddle-point approximation method to quantify the impact of undiversified idiosyncratic risk in a credit portfolio is inappropriate in the presence of double default effects. Specifically, we prove that there does not exist an equivalent formula to the granularity adjustment, that accounts for guarantees, in case of the extended single-factor Credit Risk model. Moreover, in case of the model underlying the double default treatment within the internal ratings based (IRB) approach of Basel II, the saddle-point equivalent to the GA is too complex and involved to be competitive to a standard Monte Carlo approach. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Graduate School of Economics Bonn | | en_US |
| dc.relation.ispartofseries | | Bonn econ discussion papers 2009,19 | | en_US |
| dc.subject.jel | | G31 | | en_US |
| dc.subject.jel | | G28 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | analytical approximation | | en_US |
| dc.subject.keyword | | Basel II | | en_US |
| dc.subject.keyword | | double default | | en_US |
| dc.subject.keyword | | granularity adjustment | | en_US |
| dc.subject.keyword | | IRB approach | | en_US |
| dc.subject.keyword | | saddle-point approximation | | en_US |
| dc.subject.stw | | Kreditrisiko | | en_US |
| dc.subject.stw | | Messung | | en_US |
| dc.subject.stw | | Kreditwürdigkeit | | en_US |
| dc.subject.stw | | Heuristisches Verfahren | | en_US |
| dc.subject.stw | | Basel II | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Failure of saddle-point method in the presence of double defaults | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 607072318 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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