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Title: Calculating Value-at-Risk Using the Granularity Adjustment Method in the Portfolio Credit Risk Model with Random Loss Given Default
Authors: Chang, Yi-Ping;Lin, Jing-Xiu;Yu, Chih-Tun
Contributors: 統計學系
Keywords: Bank;Banking;Credit;Portfolio
Date: 2016
Issue Date: 2018-01-08 17:14:55 (UTC+8)
Abstract: According to the Basel Committee on Banking Supervision (BCBS), the internal ratings-based approach of Basel II and Basel III allows a bank to calculate the Value-at-Risk (VaR) for portfolio credit risk by using its own credit risk model. In this paper we use the Granularity Adjustment (GA) method proposed by Martin and Wilde (2002) to calculate VaR in the portfolio credit risk model with random loss given default. Moreover, we utilize a Monte Carlo simulation to study the impact of concentration risk on VaR.
Relation: Journal of Economics and Management, August 2016, v. 12, iss. 2, pp. 157-76
Data Type: article
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