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dc.contributor.authorLütkebohmert, Evaen
dc.date.accessioned2009-08-17-
dc.date.accessioned2010-07-29T10:08:43Z-
dc.date.available2010-07-29T10:08:43Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/37029-
dc.description.abstractWe show that the saddle-point approximation method to quantify the impact of undiversi?ed idiosyncratic risk in a credit portfolio is inappropriate in the presence of double default effects. Speci?cally, 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 CreditRisk+ 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
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x19/2009en
dc.subject.jelG31en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordanalytical approximationen
dc.subject.keywordBasel IIen
dc.subject.keyworddouble defaulten
dc.subject.keywordgranularity adjustmenten
dc.subject.keywordIRB approachen
dc.subject.keywordsaddle-point approximationen
dc.subject.stwKreditrisikoen
dc.subject.stwMessungen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwHeuristisches Verfahrenen
dc.subject.stwBasel IIen
dc.subject.stwTheorieen
dc.titleFailure of saddle-point method in the presence of double defaults-
dc.type|aWorking Paperen
dc.identifier.ppn607072318en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:192009-

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