Systemic risk contributions: a credit portfolio approach
- Publisher: Frankfurt a. M.: Deutsche Bundesbank
systemic capital charge | C63 | systemic risk contributions,systemic capital charge,expected shortfall,importance sampling,granularity adjustment | C15 | G21 | E58 | G01 | importance sampling | systemic risk contributions | expected shortfall | granularity adjustment
We put forward a Merton-type multi-factor portfolio model for assessing banks' contributions to systemic risk. This model accounts for the major drivers of banks' systemic relevance: size, default risk and correlation of banks' assets as a proxy for interconnectedness. ...