Posts tagged ‘expected loss’

Credit Risk Contributions on May 26th, 2011

Rosen D., and Saunders D., 2011, Credit Risk Contributions, Chapter 22 in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, T. Bielecki, D. Brigo, F. Patras (Editors), Wiley, 2011

Once the risk of a portfolio is calculated, a natural question to ask is: where does the risk come from and what are the main contributors? We present a survey of the theory and practical uses of risk contributions in credit risk management. Applications presented include the computation of portfolio credit risk and the contributions of systematic and [..]