Risk factor contributions in portfolio credit risk models

@inproceedings{Rosen2009RiskFC,
  title={Risk factor contributions in portfolio credit risk models},
  author={Dan Rosen and David Saunders},
  year={2009}
}
Determining contributions to overall portfolio risk is an important topic in risk management. For positions (instruments and sub-portfolios), this problem has been well studied, and a significant theory built, around the calculation of marginal contributions. We consider the problem of determining the contributions to portfolio risk of risk factors. This cannot be addressed through an immediate extension of techniques for position contributions, since the portfolio loss is a nonlinear function… CONTINUE READING

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