### Citations

294 | A risk-factor model foundation for ratingsbased bank capital rules.
- Gordy
- 2003
(Show Context)
Citation Context ...cally tractable in general case, some progress has been made to develop an approximate solution. The most successful attempts to tackle the problem are Asymptotic Single Risk Factor (ASRF) framework (=-=Gordy, 2003-=-), granularity adjustment (GA) by Martin and Wilde (2002) and Pykhtin’s (2004) multi-factor adjustment. This article aims to complement the existing analytical techniques. The ambition is to fill the ... |

79 | Sensitivity analysis of Values at Risk, - Gouriéroux, Laurent, et al. - 2000 |

18 | A Simple Multi-Factor ‘Factor Adjustment’, for the Treatment of Diversification in Credit Capital Rules”, submitted to the Journal of Credit Risk. - Cespedes, Herrero, et al. - 2005 |

18 |
Unsystematic Credit Risk.
- Martin, Wilde
- 2002
(Show Context)
Citation Context ...nd infinitely large and fine-grained portfolio was solved by Asymptotic Single Risk Factor framework (Gordy, 2003). Next, idiosyncratic component of risk has been addressed by granularity adjustment (=-=Martin and Wilde, 2002-=-). Finally, the results of Martin and Wilde (2002) were applied to a multi-factor case by Pykhtin (2004). Unfortunately, no significant progress has been made ever since towards better analytical appr... |

17 |
The calculation of cumulants via conditioning
- Brillinger
- 1969
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Citation Context ...+ 3 〈Vmf · µ2[Vga(ξ)]〉η∗ + 〈µ3[Vga(ξ)]〉η∗ . (5.4b) 11 The first of the above is a well-known low of total variance, while the second one follows from a more general low of total cumulance (see, e.g., =-=Brillinger, 1969-=-). Thus, to compute the idiosyncratic contribution to the second and the third VaR and ES adjustments, one needs to compute the second and the third conditional central moments of the idiosyncratic co... |

9 | Capital allocation for credit portfolios with kernel estimators,
- Tasche
- 2009
(Show Context)
Citation Context ...ugh several techniques have been developed to improve the performance of the simulationsbased approach, e.g. importance sampling (see, e.g., Kalkbrener et al., 2004) and kernel estimators (see, e.g., =-=Tasche, 2009-=-), simulation-based estimation of risk contributions on transaction level is still a demanding computational problem. In practice, when applied to multi-factor models, efficiency of the abovementioned... |

6 |
Portfolio Management of Default Risk. Working paper, Moody’s KMV
- Kealhofer
- 2001
(Show Context)
Citation Context ...article aims to complement the existing analytical techniques. The ambition is to fill the existing gap between theoretical results and practice by considering a fully-featured PortfolioManager-type (=-=Kealhofer, 2001-=-) credit portfolio model. The proposed framework allows to calculate most commonly used risk measures (variance, value-at-risk and expected shortfall) on both portfolio and transaction levels. The mat... |

3 | Available from http://www.riskwhoswho.com/Resources/PykhtinMichael4.pdf D. Tasche. Capital allocation to business units and sub-portfolios: the Euler principle. Working paper, 2008. Available from http://arxiv.org/PS cache/arxiv/pdf/0708/0708.2542v3.pdf - RISK, Vol - 2004 |