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arXiv · 0911.0223

Analytical Framework for Credit Portfolios. Part I: Systematic Risk

Mikhail Voropaev
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Abstract

Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to individual transactions. The underlying model is the industry standard multi-factor Merton-type model with arbitrary valuation function at horizon (in contrast to the simplistic default-only case). High accuracy of the proposed analytical technique is demonstrated by benchmarking against Monte Carlo simulations.

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BibTeXRIS

Mikhail Voropaev. 2011-07-13. Analytical Framework for Credit Portfolios. Part I: Systematic Risk. https://arxiv.org/abs/0911.0223

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