MARC details
| 000 -LEADER |
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01862nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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OSt |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20160616170138.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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160616b xxu||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Morone, Marco |
| 9 (RLIN) |
22956 |
| 245 ## - TITLE STATEMENT |
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| Title |
Determining the marginal contributions of the economic capital of credit risk portfolio: an analytical approach. |
| Statement of responsibility, etc |
Marco Morone, Anna Cornaglia, and Giulio. ignola, |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
Hydrabad |
| Name of publisher, distributor, etc |
THe IUP Publications |
| Date of publication, distribution, etc |
November 2013 |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
7- 25 P. |
| Other physical details |
Paper |
| 500 ## - GENERAL NOTE |
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| General note |
The present paper addresses the problem of decomposing the risk of a multi-factor credit portfolio into marginal contributions through a fast analytical approach. It is based on Taylor polynomial expansion of the overall risk and on the subsequent partial derivatives with respect to the single exposures, exploiting the Euler principle. The proposed approximation, which also accommodates an efficient treatment of obligors with similar risk profile, is suitable for large and complex bank portfolios. Furthermore, it performs quite well if tested against numerical techniques, among which the authors chose the Harrell-Davis estimator. The latter, aside from representing a benchmark measure, should however be applied only in the case of very small and concentrated portfolios. In addition, a comparison with the most usual variance-covariance approach is drawn, emphasizing its drawbacks in the correct representation of risk allocation. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Crdit Risk Management |
| 9 (RLIN) |
22957 |
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| Topical term or geographic name as entry element |
Benchmarking (Management) |
| 9 (RLIN) |
22958 |
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| Topical term or geographic name as entry element |
Bank Investments |
| 9 (RLIN) |
22959 |
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| Topical term or geographic name as entry element |
Talyer ' s Series |
| 9 (RLIN) |
22960 |
|
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| Topical term or geographic name as entry element |
Euler Method |
| 9 (RLIN) |
22961 |
| 700 ## - ADDED ENTRY--PERSONAL NAME |
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| Personal name |
Cornaglia, Anna |
| 9 (RLIN) |
22963 |
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| Personal name |
Mignola, Giulio |
| 9 (RLIN) |
22965 |
| 773 0# - HOST ITEM ENTRY |
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| Host Biblionumber |
30419 |
| Host Itemnumber |
32180 |
| Main entry heading |
MURTHY, E N |
| Place, publisher, and date of publication |
IUP PUBLICATION HYDEARABAD |
| Other item identifier |
555773 |
| Title |
FINANCIAL RISK MANAGEMENT |
| International Standard Serial Number |
0972-916X |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Journal Article |
