Credit Risk Contributions to Value-at-Risk and Expected Shortfall
classification
❄️ cond-mat
q-fin.CPq-fin.RM
keywords
contributionsexpectedshortfallvalue-at-riskanalyticalcalculatecomputedcredit
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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.
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