Please use this identifier to cite or link to this item:
Weißbach, Rafael
von Lieres und Wilkau, Carsten
Year of Publication: 
Series/Report no.: 
Technical Report 2006,02
Most credit portfolio models calculate the loss distribution of a portfolio consisting solely of performing counterparts. We develop two models that account for defaulted counterparts in the calculation of the economic capital. First, we model the portfolio of non-performing counterparts standalone. The second approach derives the integrated loss distribution for the non-performing and the performing portfolio. Both calculations are supplemented by formulae for contributions of the single counterpart to the economic capital. Calibrating the models allows for an impact study and a comparison with Basel II.
Document Type: 
Working Paper

Files in This Item:
159.34 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.