Calculating Value-at-Risk contributions in CreditRisk+

Credit Suisse First Boston (CSFB) launched in 1997 the model CreditRisk+ which aims at calculating the loss distribution of a credit portfolio on the basis of a methodology from actuarial mathematics. Knowing the loss distribution, it is possible to determine quantile-based values-at-risk (VaRs) for the portfolio. An open question is how to attribute fair VaR contributions to the credits or loans forming the portfolio. One approach is to define the contributions as certain conditional expectations. We develop an algorithm for the calculations involved in this approach. This algorithm can be adapted for computing the contributions to the portfolio Expected Shortfall (ES). Key words: CreditRisk+; Value-at-Risk (VaR); risk contribution; conditional expectation.Comment: 11 pages, LaTeX with hyperref packag

Synthesis of 13C—O-labelled tertiary alkanoic acids by the Koch-haaf-reaction

Good yields of tertiary alkanoic acids are obtained from the Koch-Haaf-synthesis even when only stoichiometric amounts of carbinol and HCOOH are used. This offers a new approach to 13CO-labelled tertiary alkanoic acids. - An excess of HCOOH is generally used in the Koch-Haaf-synthesis1) of carboxylic acids from carbinols and HCOOH in conc. H2SO4

NEW GENERATION CO-OPERATIVES AND THE LAW IN SASKATCHEWAN

Agribusiness,