Measuring Default Risk for a Portfolio of Equities


This work evaluates changes proposed by the Basel Committee for capital allocation due to a company default in an equities portfolio of a bank. Recently measures like the Default Risk Charge were designed to account for the... [ view full abstract ]


  1. Matheus Rodrigues (University of São Paulo)
  2. André Maialy (São Paulo School of Economics)

Topic Areas

Credit Risk , Capital Requirements , Risk Measures


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