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An experimental comparison of two exchange mechanisms : an asset market versus a credit market

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Cossin, Didier; Aparicio Acosta, Felipe M. - 1998

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Credit risk assessment considering variations in exposure : application to commitment lines

Fujiwara, Shigeaki - 2008

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Structured credit portfolio analysis, baskets & CDOs

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Treatment of double default effects within the granularity adjustment for Basel II

Ebert, Sebastian; Lütkebohmert-Holtz, Eva - 2009

Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversified away. The impact of undiversified idiosyncratic risk on portfolio Value-at-Risk can be quantified via a granularity adjustment (GA). We provide an analytic formula for...