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- W4302234333 abstract "When economic capital is calculated using a portfolio model of credit value-at-risk, the marginal capital requirement for an instrument depends, in general, on the properties of the portfolio in which it is held. By contrast, ratings-based capital rules, including both the current Basel Accord and its proposed revision, assign a capital charge to an instrument based only on its own characteristics. I demonstrate that ratings-based capital rules can be reconciled with the general class of credit VaR models. Contributions to VaR are portfolio-invariant only if (a) there is only a single systematic risk factor driving correlations across obligors, and (b) no exposure in a portfolio accounts for more than an arbitrarily small share of total exposure. Analysis of rates of convergence to asymptotic VaR leads to a simple and accurate portfolio-level add-on charge for undiversified idiosyncratic risk. There is no similarly simple way to address violation of the single factor assumption." @default.
- W4302234333 created "2022-10-06" @default.
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- W4302234333 date "2002-01-01" @default.
- W4302234333 modified "2023-09-27" @default.
- W4302234333 title "A Risk-Factor Model Foundation for Ratings-Based Bank Capital Rules" @default.
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- W4302234333 doi "https://doi.org/10.17016/feds.2002.55" @default.
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