Risikomaßzahlen für Kreditportfoliotranchen

Daniel Tillich ()

AStA Wirtschafts- und Sozialstatistisches Archiv, 2011, vol. 5, issue 1, 59-76

Abstract: There is a multitude of measures to evaluate the tranches of a structured credit portfolio. One problem is that for each concept there exists a variety of different terms. Furthermore, some of these terms are used for different measures. For this reason, this paper aims to catalog the terms used and to define a term that is appropriate and unique. Additionally, characteristic properties for each measure are collected. It turns out that in principle two of the considered measures suffice to evaluate the tranches of a portfolio. Copyright Springer 2011

Keywords: Risikomessung; Kreditportfolio; Tranche; G32; G24; G13; Risk; Measurement; Tranche; Credit portfolio (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s11943-011-0095-1

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