Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22571
Authors: 
Weißbach, Rafael
Year of Publication: 
2004
Series/Report no.: 
Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,58
Abstract: 
We derive approximate formulae for the credit value-at-risk and the economic capital of a large credit portfolio. The representation allows to change the risk horizon quickly and avoids simulation or numerical procedures. The Poisson mixture model is equivalent to CreditRisk and uses the same parameters.
Document Type: 
Working Paper

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