Quotation Frey, Rüdiger, Popp, Monika, Weber, Stefan . 2008. An Approximation for credit portfolio losses. The Journal of Credit Risk 4 (1): 3-20.




This paper discusses a new approximation for the loss distribution in mixture models of portfolio credit risk, based on a normal approximation to the conditional loss distribution and the Berry-Esseen inequality. Applications to the risk management for credit portfolios and to the pricing of multi-name credit derivatives in factor copula models are discussed. A numerical case study shows that the method provides substantially more accurate results than the standard Vasicek approximation, while being at the same time computationally less expensive than standard Monte Carlo algorithms.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Credit Risk
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, WH-B
Language English
Title An Approximation for credit portfolio losses
Volume 4
Number 1
Year 2008
Page from 3
Page to 20
URL http://www.stochastik.uni-hannover.de/fileadmin/institut/pdf/fpw2007.pdf


Frey, Rüdiger (Details)
Popp, Monika
Weber, Stefan
Institute for Statistics and Mathematics IN (Details)
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