Treatment of double default effects within the granularity adjustment for Basel II
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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| Hauptverfasser: | , |
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| Dokumenttyp: | Buch/Monographie Arbeitspapier |
| Sprache: | Englisch |
| Veröffentlicht: |
Bonn
Graduate School of Economics
10 July 2009
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| Schriftenreihe: | Bonn econ discussion papers
2009,10 |
| In: |
Bonn Econ Discussion Papers (2009,10)
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| Schlagworte: | |
| Online-Zugang: | 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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| Verfasserangaben: | by Sebastian Ebert and Eva Lütkebohmert |
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