Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/37025 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Bonn Econ Discussion Papers No. 10/2009
Verlag: 
University of Bonn, Bonn Graduate School of Economics (BGSE), Bonn
Zusammenfassung: 
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.
Schlagwörter: 
analytic approximation
Basel II
counterparty risk
double default
granularity adjustment
IRB approach
securitization
JEL: 
G31
G28
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
257.49 kB





Publikationen in EconStor sind urheberrechtlich geschützt.