Alexandre Kurth
Alexandre Kurth
*This is an algorithmically generated author record based on publicly available information.
Research Subjects
Alexandre Kurth has a total of 1 co-authors. Here are the top co-authors by number of shared publications:
- Dirk Tasche
Independent Researcher, 8032 Zürich, Switzerland
1 shared publication
Latest Publications
- Open Access
Credit Risk Contributions to Value-at-Risk and Expected Shortfall
This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed in finitely many steps. The methods are illustrated by numerical examples.
Open AccessCredit Risk Contributions to Value-at-Risk and Expected Shortfall
This paper presents analytical solutions to the problem of how to calculate sensible VaR (Value-at-Risk) and ES (Expected Shortfall) contributions in the CreditRisk+ methodology. Via the ES contributions, ES itself can be exactly computed in finitely many steps. The methods are illustrated by numerical examples.