[MRM] Vortrag Dr. Tasche Montag, 26. Mai 2003

[Modernes Risk Management]

Sehr geehrte Damen und Herren,

Im Rahmen des Kolloquiums aus Statistik, Operations Research und
Informatik haelt Herr Dr. Dirk Tasche (Deutsche Bundesbank)
einen Vortrag mit dem Titel

         "Calculating and allocating capital
          for credit portfolios"

Abstract:

Capital allocation for credit portfolios has two meanings.
First, at portfolio level it means to determine capital as
a buffer against an unexpected negative cashflow resulting
from credit losses. In this case, the allocation method can
be specified by means of a risk measure. Its result is
called total capital of the portfolio. Second, at
sub-portfolio or transaction level, capital allocation
means breaking down the total capital of the portfolio to
its sub-units. The resulting capital assignments are called
risk contributions. We introduce several current concepts
for total capital and risk contributions in a general
setting. In particular, we discuss briefly the main
differences between regulatory and economic capital for
credit institutions. Then we derive formulas and algorithms
for the economic concepts in the special case of the
CreditRisk+ methodology with individual independent loss
given default distributions.

Zeit: Montag 26. Mai 16:30
Ort:  Leopold-Schmetterer-Seminarraum
      Institut fuer Statistik und Decision Support Systems
      1010 Wien, Universitaetsstrasse 5/9 3.Stock (Lift!)

Mit besten Gruessen,

Markus Fulmek 
-------------------------------------------------
Wissenschaftlicher Verein Modernes Risk Management

WWW:                  http://keen.esi.ac.at/~amrm/

Institut fuer Mathematik         Universitaet Wien
Strudlhofgasse 4                       A-1090 Wien

Kontakt: Dr.Markus Fulmek      amrm at keen.esi.ac.at