Credit Risk Contributions to Value-at-Risk and Expected Shortfall

Details Credit Risk Contributions to Value-at-Risk and Expected Shortfall Credit Risk Contributions to Value-at-Risk and Expected Shortfall

2002-07-31

arxiv.org/abs/cond-mat/0207750v2

Risk 16(3) (March 2003), 84-88

Physics

Condensed Matter

12 pages, LaTeX with hyperref package, references updated

Scientific paper

This paper presents analytical solutions to the problem of how to calculate
sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the
CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly
computed in finitely many steps. The methods are illustrated by numerical
examples.

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