000			01862nam a22002417a 4500
003			OSt
005			20160616170138.0
008			160616b xxu||||| |||| 00| 0 eng d
100			_aMorone, Marco _922956
245			_aDetermining the marginal contributions of the economic capital of credit risk portfolio: an analytical approach. _cMarco Morone, Anna Cornaglia, and Giulio. ignola,
260			_aHydrabad _bTHe IUP Publications _cNovember 2013
300			_a7- 25 P. _bPaper
500			_aThe 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			_aCrdit Risk Management _922957
650			_aBenchmarking (Management) _922958
650			_aBank Investments _922959
650			_aTalyer ' s Series _922960
650			_aEuler Method _922961
700			_aCornaglia, Anna _922963
700			_aMignola, Giulio _922965
773	0		_030419 _932180 _aMURTHY, E N _dIUP PUBLICATION HYDEARABAD _o555773 _tFINANCIAL RISK MANAGEMENT _x0972-916X
942			_2ddc _cJA-ARTICLE
999			_c43160 _d43160