Credit Risk Contributions to Value-at-Risk and Expected Shortfall

Alexandre Kurth and Dirk Tasche

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Abstract: This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed in finitely many steps. The methods are illustrated by numerical examples.

Date: 2002-07, Revised 2002-11
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Citations: View citations in EconPapers (5)

Published in Risk 16(3) (March 2003), 84-88

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0207750

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