Capital allocation in large credit portfolios

Michael Kalkbrenner

Abstract: Allocation techniques based on coherent risk measures have a number of theoretical advantages. The main obstacle to their practical application are the high computational costs due to the numerical instability of these techniques. In this talk we focus on the application to large credit portfolios and present an importance sampling technique which significantly improves the accuracy of the computations.

The talk is based on algorithms and results presented in the paper Sensible and Efficient Capital Allocation for Credit Portfolios. Donwload PDF file