Later, Pykhtin ( 2004 ) provides an additional multi-factor adjustment to the Martin and Wilde (2002) model. More recently, Gordy and Marrone (2012) apply Taylor expansion ideas to obtain …
and Pykhtin & Dev (2002). Emmer & Tasche (2003) have developed an analytical formulation for calculating VAR contributions from individual ex-posures. Gordy ( 2004 ) has derived a granularity adjustment for ES. For multi-factor Merton-type models, no purely analytical methods for estimating portfolio VAR or ES have been reported. Although Gordy …
In terms of multi-factor credit portfolio modeling, Pykhtin ( 2004 ) recently obtains an elegant, analytical multi-factor adjustment , which extends the granularity adjustment technique of Gordy, Martin and Wilde. This method can also be used quite effectively to compute capital contributions numerically (given its closed form solution to compute …
In terms of multi-factor credit portfolio modeling, Pykhtin ( 2004 ) recently obtains an elegant, analytical multi-factor adjustment , which extends the granularity adjustment technique of Gordy, Martin and Wilde. This method can also be used quite effectively to compute capital, The author presents an analytical method for calculating portfolio value-at-risk and expected shortfall in the multi-factor Merton framework. This method is essentially an extension of the granularity adjustment technique to a new dimension.
In terms of multi-factor credit portfolio modeling, Pykhtin ( 2004 ) recently obtains an elegant, analytical multi-factor adjustment , which extends the granularity adjustment technique of Gordy, Martin and Wilde. This method can also be used quite effectively to compute capital
