Credit Risk Contributions to Value-at-Risk and Expected Shortfall
arXiv:cond-mat/0207750
Abstract
This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed in finitely many steps. The methods are illustrated by numerical examples.
12 pages, LaTeX with hyperref package, references updated