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ArticleRisk factor contributions in portfolio credit risk models

Dan Rosen2009

Article2009

Risk factor contributions in portfolio credit risk models

Dan Rosen · David A. Saunders

73 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Credit Risk and Financial Regulations Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 2011Quantitative Risk Management 2003A risk-factor model foundation for ratings-based bank capital rules 2001Coherent allocation of risk capital 2000Sensitivity analysis of Values at Risk 2012Quantitative Risk Management 2008Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics 2005Importance Sampling for Portfolio Credit Risk

Cited by

2011Risk capital allocation for RORAC optimization 2011Development of a credit limit allocation model for banks using an integrated Fuzzy TOPSIS and linear programming 2012Construction of Risk-Averse Enhanced Index Funds 2016Trading book and credit risk: How fundamental is the Basel review?2014An application of capital allocation principles to operational risk and the cost of fraud

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Year2009

Typearticle

Published2009-08-09

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations73

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2009.08.002

openalex_workW2003555665

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