| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089900 | Journal of Banking & Finance | 2012 | 12 Pages |
Abstract
⺠We evaluate several alternative formulations for minimizing portfolio credit risk. ⺠Our formulations exploit conditional independence under a structural credit risk model. ⺠We consider various approximations to the conditional portfolio loss distribution. ⺠We solve Value-at-Risk and expected shortfall minimization problems for each case. ⺠A Normal approximation to the conditional loss distribution performs best in practice.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ian Iscoe, Alexander Kreinin, Helmut Mausser, Oleksandr Romanko,