TU Berlin

Fachgebiet Algorithmische AlgebraJournal Publications

Page Content

to Navigation

There is no English translation for this web page.

Journal Publications

Incorporating Severity Variations into Credit Risk
Citation key BKW-Incorporating-Severity-Variations-Into-Credit-Risk
Author Peter Bürgisser and Alexandre Kurth and Armin Wagner
Pages 5-31
Year 2001
Journal Journal of Risk
Volume 3
Number 4
Abstract We present an approach to model credit risk that incorporates the risk of counterparty default and the risk of devaluation of the collateral. The framework is based on a two-dimensional segmentation by industry and collateral type. The systematic effects in both risk drivers are taken into account by volatilities within, and by correlations between the segments. We derive a simple formula for the variance of the loss distribution and describe an algorithm to compute this distribution. Moreover, we show that in the limit of a large portfolio, the loss distribution directly mirrors the assumptions on the economy and depends on the portfolio structure only through the relative expected loss weights.
Link to publication Link to original publication Download Bibtex entry


Quick Access

Schnellnavigation zur Seite über Nummerneingabe