Contributions to credit risk

Optimisation of credit portfolios requires that risk contributions be quantified. However, there has been disagreement over which of three popular tail risk measures should be used. Here, Alexandre Kurth and Dirk Tasche offer a way forward, showing how to calculate all three measures in the context of CreditRisk+, and then applying the calculation to a set of sample portfolios, with interesting results.

Risk click here Online References:
Acerbi C and D Tasche, 2002 On the coherence of expected shortfall. Journal of Banking & Finance 26(7), pages 1,487–1,503.

Artzner P, F Delbaen, J-M Eber and D Heath, 1999. Coherent measures of risk. Mathematical Finance 9(3), pages 203–228.

Bürgisser P, A Kurth and A Wagner, 2001. Incorporating severity variations into credit risk. Journal of Risk 3(4), pages 5–31.

CSFB, 1997. CreditRisk+: a credit risk management framework.

Gouriéroux C, J-P Laurent and O

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here