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| Zitatschlüssel | BKW-2004-Incorporating-Severity-Variations-into-Credit-Risk |
|---|---|
| Autor | Peter Bürgisser and Alexandre Kurth and Armin Wagner |
| Buchtitel | Innovations in Risk Management |
| Seiten | 533-567 |
| Jahr | 2004 |
| Herausgeber | P. Jorion |
| Verlag | Incisive Media Investments Limited |
| Serie | Seminal Papers from the Journal of Risk |
| Zusammenfassung | 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. |
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