Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach

@inproceedings{Morone2012DeterminingMC,
  title={Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach},
  author={Marco Morone and Anna Cornaglia and Giulio Mignola},
  year={2012}
}
We address 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 for an efficient treatment of obligors with similar risk profile, is suitable for large and complex bank portfolios… CONTINUE READING

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