Cover Image

Treatment of double default effects within the granularity adjustment for Basel II

Show other versions (1)

Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversified away. The impact of undiversified idiosyncratic risk on portfolio Value-at-Risk can be quantified via a granularity adjustment (GA). We provide an analytic formula for the GA...

Full description

Saved in:
Bibliographic Details
Main Authors: Ebert, Sebastian (Author) , Lütkebohmert, Eva (Author)
Format: Book/Monograph Working Paper
Language:English
Published: Bonn Graduate School of Economics 10 July 2009
Series:Bonn econ discussion papers 2009,10
In: Bonn Econ Discussion Papers (2009,10)

Subjects:
Arbeitspapier
Graue Literatur
Online Access:Verlag, Volltext: http://www.bgse.uni-bonn.de/bonn-econ-papers-1/archive/2009/sebastian-ebert-and-eva-lutkebohmert-treatment-of-double-default-effects-within-the-granularity-adjustment-for-basel-ii-no.-10-2009
Verlag, Volltext: https://www.econstor.eu/handle/10419/37025
Download aus dem Internet, Stand 17.08.2009, Volltext: http://hdl.handle.net/10419/37025
Get full text
Author Notes:by Sebastian Ebert and Eva Lütkebohmert
Description
Summary:Within the Internal Ratings-Based (IRB) approach of Basel II it is assumed that idiosyncratic risk has been fully diversified away. The impact of undiversified idiosyncratic risk on portfolio Value-at-Risk can be quantified via a granularity adjustment (GA). We provide an analytic formula for the GA in an extended singlefactor CreditRisk setting incorporating double default effects. It accounts for guarantees and their effect of reducing credit risk in theportfolio. Our general GA very well suits for application under Pillar 2 of Basel II as the data inputs are drawn from quantities already required for the calculation of IRB capital charges. -- analytic approximation ; Basel II ; counterparty risk ; double default ; granularity adjustment ; IRB approach ; securitization
Item Description:Gesehen am 13.03.2023
Physical Description:Online Resource
Format:Systemvoraussetzungen: Acrobat Reader.

Similar Items