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Capital allocation in credit portfolios in a multi-period setting

URN to cite this document:
Pfister, Tamara ; Utz, Sebastian ; Wimmer, Maximilian
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Date of publication of this fulltext: 06 Feb 2014 11:43


This article reviews the literature on techniques of credit risk models, multi-period risk measurement, and capital allocation, and gives a tutorial on applying these techniques to credit portfolios with a focus on practical aspects. The effects of the choice of considered loss process concerning the handling of write-offs and matured assets or rating migration are displayed, and the impact on ...


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