| 摘要 |
A method for determining the event and default risk add-on for a portfolio of financial instruments. For each debt instrument position in the portfolio, determine the probabilities of all possible changes in this instrument's credit rating over a fixed time interval, including possible default of the issuer, and determine the potential changes in the market value of the position resulting from each of these credit events. For each equity position in the portfolio, identify a finite set of possible representative changes in the market value of the position which lie outside the range of historical distributions used for assessing market risk, and determine the probabilities that these changes occur over the same fixed time interval as used in the computation with respect to the debt instruments. Model the event and default risks as discrete random variables. Model the total event and default risk of the portfolio as the sum of the independent discrete random variables. The probability distribution of the total portfolio risk is calculated as a discrete random variable from the probability distributions of the component random variables. Finally, the event and default risk add-on of the portfolio is computed as a quantile of the probability distribution of its total risk.
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