Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22635 
Year of Publication: 
2006
Series/Report no.: 
Technical Report No. 2006,02
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
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

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