2014
DOI: 10.12988/ams.2014.411
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Tail approximations in credit portfolios using large deviations techniques

Abstract: In this paper, it is analyzed how Large Deviations (LD) techniques can be used for practical credit portfolio management. Applications include the internal risk management for a large credit portfolio, or the overall need to meet external requirements imposed by Basel II. For this purpose the paper provides fast and reliable methods for the computation of Value at Risk (VaR) and Conditional Value at Risk (CVaR) in general factor models using LD. Recovery rate (RR) is modelled as a random variable, depending on… Show more

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