經濟與管理論叢(Journal of Economics and Management)  
  Volume 12, No. 2  
  August, 2016  
     
 

Calculating Value-at-Risk Using the Granularity

 
 

Adjustment Method in the Portfolio Credit Risk Model

 
  with Random Loss Given Default  
   
  Yi-Ping Chang  
  Department of Financial Engineering and Actuarial Mathematics, Soochow University, Taiwan  
   
  Jing-Xiu Lin  
  Department of Financial Engineering and Actuarial Mathematics, Soochow University, Taiwan  
     
  Chih-Tun Yu  
  Department of Statistics, National Chengchi University, Taiwan  
     
 

Abstract

 

According to the Basel Committee on Banking Supervision (BCBS), the internal ratings-based approach of Basel II and Basel III allows a bank to calculate the Valueat-Risk (VaR) for portfolio credit risk by using its own credit risk model. In this paper we use the Granularity Adjustment (GA) method proposed by Martin and Wilde (2002) to calculate VaR in the portfolio credit risk model with random loss given default. Moreover, we utilize a Monte Carlo simulation to study the impact of concentration risk on VaR.

   

 

 

Keywords: granularity adjustment method, loss given default, portfolio credit

 
                        risk model, Value-at-Risk    

 

JEL classification: C15, G32

 

 
   

 

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