Sensible and Efficient Capital Allocation for Credit Portfolios

By Michael Kalkbrener, H. Lotter, Ludger Overbeck. 2003

92 citations recorded by the source corpus.

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Citations in the corpus

Measuring Marginal Risk Contributions in Credit Portfolios (2005, unknown): “Then, under appropriate conditions (see, e.g., Kalkbrener, Lotter and Overbeck [11] or Kurth and Tasche [12]) the marginal VaR contribution of the kth obligor is ∂VaR α ∂ ∣∣∣∣ =0 = E[Xk|L = VaRα], (3) provided P (L = VaRα) > 0.”
AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005, unknown): “…capital of a subportfolio might be higher than its stand-alone capital, the contributory capital of an individual loan might even be higher than its exposure (see Kalkbrener et al. 2004 for a detailed comparison of covariance allocation and expected shortfall allocation in credit portfolios).”
Importance Sampling for Portfolio Credit Risk (2005, background): “The idea of shifting the factor mean to generate more scenarios with large losses has also been suggested in Avranitis and Gregory [2], Finger [5], and Kalkbrener, Lotter, and Overbeck [13], though with little theoretical support and primarily in single-factor models.”
Tail Approximations for Portfolio Credit Risk (2004, methodology): “This distribution has been derived and applied by several authors including Vasicek [16], Schönbucher [15], Kalkbrenner, Lotter, and Overbeck [9], Lucas, Klaasen, Spreij, and Straetmans [12].”
Risk factor contributions in portfolio credit risk models (2010, background): “From a theoretical perspective, it is important to develop an axiomatic characterization of factor contribution measures in a manner similar to Kalkbrener et al. (2004).”