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Quantitative Finance Volume 9, 2009 - Issue 5
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Research Papers

Capital allocation for credit portfolios with kernel estimators

Dirk Tasche Lloyds Banking Group, Red Lion Court, 46–48 Park Street, London, SE1 9EQ, UKCorrespondence[email protected]
Pages 581-595 | Received 21 Feb 2007, Accepted 10 Nov 2008, Published online: 18 Jun 2009

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Takaaki Koike & Mihoko Minami. (2019) Estimation of risk contributions with MCMC. Quantitative Finance 19:9, pages 1579-1597.
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Thomas Siller. (2013) Measuring marginal risk contributions in credit portfolios. Quantitative Finance 13:12, pages 1915-1923.
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Guobin Fan, Yong Zeng & Woon K. Wong. (2012) Decomposition of portfolio VaR and expected shortfall based on multivariate Copula simulation. International Journal of Management Science and Engineering Management 7:2, pages 153-160.
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Articles from other publishers (18)

N.V. Gribkova, J. Su & R. Zitikis. (2023) Estimating the VaR-induced Euler allocation rule. ASTIN Bulletin, pages 1-17.
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Joachim Paulusch & Sebastian Schlütter. (2022) Sensitivity-implied tail-correlation matrices. Journal of Banking & Finance 134, pages 106333.
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Álvaro Leitao & Luis Ortiz-Gracia. (2020) Model-free computation of risk contributions in credit portfolios. Applied Mathematics and Computation 382, pages 125351.
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So Yeon Chun & Miguel A. Lejeune. (2020) Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Management Science 66:8, pages 3735-3753.
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Vali Asimit, Liang Peng, Ruodu Wang & Alex Yu. (2019) An efficient approach to quantile capital allocation and sensitivity analysis. Mathematical Finance 29:4, pages 1131-1156.
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Massimiliano Menzietti & Marco Pirra. 2017. Insurance Regulation in the European Union. Insurance Regulation in the European Union 245 260 .
Jean-Paul Laurent, Michael Sestier & Stéphane Thomas. (2016) Trading book and credit risk: How fundamental is the Basel review?. Journal of Banking & Finance 73, pages 211-223.
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Michel Dietsch & Joël Petey. (2015) The credit-risk implications of home ownership promotion: The effects of public subsidies and adjustable-rate loans. Journal of Housing Economics 28, pages 103-120.
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Guangwu Liu. (2015) Simulating Risk Contributions of Credit Portfolios. Operations Research 63:1, pages 104-121.
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Damiano Brigo & Claudio Nordio. 2015. Innovations in Quantitative Risk Management. Innovations in Quantitative Risk Management 3 18 .
Uǧur Karabey, Torsten Kleinow & Andrew J.G. Cairns. (2014) Factor risk quantification in annuity models. Insurance: Mathematics and Economics 58, pages 34-45.
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L. Jeff Hong, Zhaolin Hu & Guangwu Liu. (2014) Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk. ACM Transactions on Modeling and Computer Simulation 24:4, pages 1-37.
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L. Jeff Hong & Guangwu Liu. (2011) Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities. Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities.
Guangwu Liu. (2010) Importance sampling for risk contributions of credit portfolios. Importance sampling for risk contributions of credit portfolios.
Houqing Fang, Jianmin He & Li Shen. (2010) Allocation Model Construction and Empirical Research on Incremental Economic Capital of Credit Operations. Allocation Model Construction and Empirical Research on Incremental Economic Capital of Credit Operations.
Alvaro Leitao Rodriguez & Luis Ortiz-Gracia. (2018) Model-Free Computation of Risk Contributions in Credit Portfolios. SSRN Electronic Journal.
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Jean Paul Laurent, Michael Sestier & Sttphane Thomas-Simonpoli. (2015) Trading Book and Credit Risk: How Fundamental is the Basel Review?. SSRN Electronic Journal.
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Damiano Brigo & Claudio Nordio. (2010) Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period. SSRN Electronic Journal.
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