%0 Journal Article
%T Analytical Framework for Credit Portfolios
%A Mikhail Voropaev
%J Quantitative Finance
%D 2010
%I arXiv
%X Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to individual transactions. The underlying model is the industry standard multi-factor Merton-type model with arbitrary valuation function at horizon (in contrast to the simplistic default-only case). High accuracy of the proposed analytical technique is demonstrated by benchmarking against Monte Carlo simulations.
%U http://arxiv.org/abs/1007.5433v1