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

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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...

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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
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Author Notes:by Sebastian Ebert and Eva Lütkebohmert
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Treatment of double default effects within the granularity adjustment for Basel II by Ebert, Sebastian (Author) , Lütkebohmert, Eva (Author) ,


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