Location of Repository

Calculating credit exposure and credit loss: a case study,” Algo Research Quarterly

By Jeff Aziz, Narat Charupat, Lqfuhdvhg Frpshwlwlrq, Dqg Wljkwhu, Vsuhdgv Edqnv, Surgxfwv Vhw, Wkh Surshu, Ohyho Ri and Fdslwdo Uhvhuyhv


We report a study of the estimation of credit exposure and credit loss of a portfolio of derivative transactions. The estimation is performed using a Monte Carlo simulation. The results are compared to the exposure and capital reserves obtained under the method recommended by the Bank for International Settlements (BIS). We show that the simulation method provides a much richer set of information for credit risk managers. Also, depending on the current exposure and the nature of the transactions, the BIS method can fail to account for potential exposure. In addition, depending on the level or prudence one requires in setting capital reserves, the BIS reserves can be either excessive or grossly insufficient. 7KH GUDPDWLF LQFUHDVH LQ RYHU WKH FRXQWH

Year: 1998
OAI identifier: oai:CiteSeerX.psu:
Provided by: CiteSeerX
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://citeseerx.ist.psu.edu/v... (external link)
  • http://www.bis.org/bcbs/ca/alr... (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.