most citedCredit Risk Contributions to Value-at-Risk and Expected Shortfall

8 citations · 8 across the 1 of their papers we have counts for

collaborators

1 paper

cond-mat2002★ 8 cited

Credit Risk Contributions to Value-at-Risk and Expected Shortfall

Alexandre Kurth, Dirk Tasche

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. V…