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dc.contributor.authorEbert, Sebastianen
dc.contributor.authorLütkebohmert, Evaen
dc.date.accessioned2009-08-17-
dc.date.accessioned2010-07-29T10:08:34Z-
dc.date.available2010-07-29T10:08:34Z-
dc.date.issued2009-
dc.identifier.urihttp://hdl.handle.net/10419/37025-
dc.description.abstractWithin 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.en
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x10/2009en
dc.subject.jelG31en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordanalytic approximationen
dc.subject.keywordBasel IIen
dc.subject.keywordcounterparty risken
dc.subject.keyworddouble defaulten
dc.subject.keywordgranularity adjustmenten
dc.subject.keywordIRB approachen
dc.subject.keywordsecuritizationen
dc.subject.stwKreditrisikoen
dc.subject.stwKreditwürdigkeiten
dc.subject.stwBasel IIen
dc.subject.stwPortfolio-Managementen
dc.subject.stwKreditsicherungen
dc.subject.stwSecuritizationen
dc.subject.stwTheorieen
dc.titleTreatment of Double Default Effects within the Granularity Adjustment for Basel II-
dc.type|aWorking Paperen
dc.identifier.ppn607069252en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:102009-

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