A new robust IS method for measuring VaR and ES allocations for credit portfolios

Reitan, Trond; Aas, Kjersti

November 17, 2008

SAMBA

• Areas: Finance, insurance and commodity market
• Keywords: Credit risk, multi-factor model, capital allocation, Expected Shortfall, importance sampling, MCMC
• Page(s): 35
• Name and number of project: SFI02-Risk 220302
• Title: A new robust IS method for measuring VaR and ES allocations for credit portfolios
• Author(s): Reitan, Trond; Aas, Kjersti
• Report number: SAMBA/46/08
• Published date: November 17, 2008