Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22597 
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dc.contributor.authorWeißbach, Rafaelen
dc.contributor.authorvon Lieres und Wilkau, Carstenen
dc.date.accessioned2009-01-29T15:03:10Z-
dc.date.available2009-01-29T15:03:10Z-
dc.date.issued2005-
dc.identifier.urihttp://hdl.handle.net/10419/22597-
dc.description.abstractMost credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account for defaulted counterparts in the calculation of the economic capital. Two of the approaches are based on the Poisson mixture model CreditRisk+ and derive a loss distribution for an integrated portfolio. The third method treats the portfolio of non-performing exposure separately. All three calculations are supplemented by formulae for contributions of the counterpart to the economic capital.en
dc.language.isoengen
dc.publisher|aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmunden
dc.relation.ispartofseries|aTechnical Report |x2005,06en
dc.subject.jelG18en
dc.subject.jelG11en
dc.subject.jelC51en
dc.subject.jelG33en
dc.subject.ddc519en
dc.subject.keywordPortfolio credit risken
dc.subject.keywordCreditRisk+en
dc.subject.keywordRecoveryen
dc.subject.stwKreditrisikoen
dc.subject.stwValue at Risken
dc.subject.stwPortfolio-Managementen
dc.subject.stwEigenkapitalen
dc.subject.stwTheorieen
dc.titleOn Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach-
dc.typeWorking Paperen
dc.identifier.ppn479091552en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb475:200506en

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