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Activity Number:
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247
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Type:
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Contributed
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Date/Time:
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Tuesday, July 31, 2007 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economics Statistics Section
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| Abstract - #309951 |
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Title:
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Comparing Portfolio Credit Risk Methods on Diversification Effect
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Author(s):
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Ming-Chin Hung*+ and Yi-Ping Chang and Huimei Liu
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Companies:
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Soochow University and Soochow University and National Chengchi University
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Address:
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Dept of Business Mathematics, Taipei, 100, Taiwan
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Keywords:
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Credit risk ; One-factor model ; Loss distribution ; Value-at-Risk
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Abstract:
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One important issue in Basel II is the evaluation of portfolio credit risk. In this paper, we proposed a method to derive the exact loss distribution of a credit portfolio and calculate its value-at-risk (VaR) under one-factor model with various degrees of asset concentration. We also compare the estimated VaRs obtained from Emmer and Tasche (2005) and Basel II with the exact VaR.
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