STATISTICS SEMINAR: Imperial College London
Tuesday 14th November 2006, 2.00PM
Institute for Mathematical Sciences
53 Prince's Gate, South Kensington Campus
CAPITAL ALLOCATION WITH KERNEL ESTIMATORS
Dr. Dirk Tasche
Banking and Financial Supervision
Deutsche Bundesbank
Abstract: Capital allocation, in the context of credit portfolio risk, is often
understood as determination of the value-at-risk (VaR) of the loss distribution
and a risk-sensitive break-down of VaR to the parts of the portfolio. When the
loss distribution is inferred from a Monte-Carlo simulation sample, the
break-down of VaR requires to estimate expectations of loan losses conditional
on portfolio-wide losses. We discuss the question how kernel estimation methods
have to be adapted for this purpose.
ALL WELCOME.
http://www3.imperial.ac.uk/mathsinstitute/programmes/research/bankfin/qfrmc/events
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