to condition default intensities of mortgages on relevant economic risk drivers. We calibrate our model on a large … from CreditRisk+ as commonly applied in the industry. The conditional loss distribution and risk measures for a large … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

In this paper we present a modelling framework for portfolio credit risk which incorporates the dependence between risk …

for corporate debt, credit default swaps and collateralized debt obligations by decomposing the risk structure arisingfrom …

Economic cycles are the key credit portfolio risk driver and they are autocorrelated over time. We then show that it is … economically meaningful to define risk for credit portfolios in a multi period setup. Since one period expected shortfall fails to … measure risk adequately in a multi period context, we then extend the coherent expected shortfall to time-conditional expected …

consider portfolio optimization problems. Such problems, involving conditional value at risk, play an important role in … portfolio optimization and financial risk management. Therefore, besides testing the performance of the proposed algorithm, we …