On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach

Research, Report, Preprint OPEN
Lieres und Wilkau, Carsten von; Weißbach, Rafael;
  • Publisher: Dortmund: Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
  • Subject: Value at Risk | Portfolio credit risk | Kreditrisiko | G11 | G33 | Eigenkapital | Recovery | info:eu-repo/classification/ddc/310 | G18 | CreditRisk+ | Portfolio credit risk,CreditRisk+,Recovery | Portfolio-Management | C51 | Theorie
    • jel: jel:G11 | jel:G33 | jel:C51 | jel:G18
      ddc: ddc:330

Most credit portfolio models exclusively calculate the loss distribution for a portfolio of performing counterparts. Conservative default definitions cause considerable insecurity about the loss for a long time after the default. We present three approaches to account f... View more
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