Measuring Marginal Risk Contributions in Credit Portfolios

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Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis (2009, unknown): “Following Kurth and Tasche (2003) and Glasserman (2005), for standard measures of risk, including VaR, expected shortfall and the systemic indicator used in this study, the total risk can be usefully decomposed into a sum of marginal risk contributions.”
Capital Allocation to Business Units and Sub-Portfolios: the Euler Principle (2007, methodology): “See Glasserman (2005) and Merino and Nyfeler (2004) for methods to tackle this problem for ES by importance sampling and Tasche (2007) for an approach to Euler VaR contribution estimation by importance sampling.”
Systemic Risk Contributions (2011, unknown): “Following Kurth and Tasche (2003) and Glasserman (2005), for standard measures of risk, including VaR, ES, and the DIP used in this study, the total risk can be usefully decomposed into a sum of marginal risk contributions.”
Risk factor contributions in portfolio credit risk models (2010, methodology): “For example, the application of importance sampling and other techniques used for position contributions (e.g. Glasserman, 2005; Huang et al., 2007; Merino and Nyfeler, 2004) needs to be investigated.”