9. The VAR Approach: CreditMetrics and Other Models

  1. Anthony Saunders and
  2. Linda Allen

Published Online: 6 DEC 2011

DOI: 10.1002/9781118267981.ch9

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition

How to Cite

Saunders, A. and Allen, L. (2010) The VAR Approach: CreditMetrics and Other Models, in Credit Risk Measurement in and Out of the Financial Crisis: New Approaches to Value at Risk and Other Paradigms, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9781118267981.ch9

Publication History

  1. Published Online: 6 DEC 2011
  2. Published Print: 19 APR 2010

ISBN Information

Print ISBN: 9780470478349

Online ISBN: 9781118267981

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Keywords:

  • VAR Approach;
  • bank for international settlements;
  • European Union;
  • standard and poor's;
  • loss given default

Summary

This chapter contains sections titled:

  • Introduction

  • The Concept of Value at Risk

  • Capital Requirements

  • Technical Issues and Problems

  • The Portfolio Approach in CreditMetrics

  • Summary

  • Appendix 9.1: Calculating the Forward Zero Curve for Loan Valuation

  • Appendix 9.2: Estimating Unexpected Losses Using Extreme Value Theory

  • Appendix 9.3: The Simplified Two-Asset Subportfolio Solution to the N-Asset Portfolio Case

  • Appendix 9.4: CreditMetrics and Swap Credit Risk