EC.cont-methods: Risk Contributions to Economic Capital

In GCPM: Generalized Credit Portfolio Model

Description

Calculate contributions to the economic capital on portfolio level for each portfolio position. In case of a simulative model, the risk contributions are calculated as contributions to expected shortfall on a lower loss level τ, such that ES(τ) is as close as possible to EC(α). Furthermore, in case of a simulative model, loss scenarios above a predefined threshold (loss.thr) are analyzed in order to calculate the risk contributions. If loss.thr is too high (depending on value of alpha) the calculation will be not possible.

Usage

EC.cont(this,alpha)

Arguments

this	Object of class GCPM
alpha	numeric vector of loss levels between 0 and 1

Value

numeric matrix with number of rows equal to number of counterparties within the portfolio and number of columns equal to length(alpha)

See Also

loss.thr

GCPM documentation built on May 1, 2019, 8:50 p.m.