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| Author: | Gordy, M. B. |
| Title: | Saddlepoint approximation of CreditRisk+ |
| Journal: | Journal of Banking and Finance
2002 : JUL, VOL. 26:7, p. 1335-1353 |
| Index terms: | Value-at-risk Portfolio management Credit management |
| Language: | eng |
| Abstract: | The paper provides new tools for users of CreditRisk+ based on the cumulant generating function of the portfolio loss distribution. The author shows how tail percentiles of the loss distribution can be calculated quickly and easily by saddlepoint approximation. The author finds a natural complementary between the two algorithms: Saddlepoint approximation is accurate and robust in those situations for which the standard algorithm performs least well, and is less accurate in those situations for which the standard algorithm performs least well, and is less accurate in those situations for which the standard algorithm is fast and reliable. |
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