摘要翻译：
本文提出了一种分析的、无需费时的蒙特卡罗模拟的信贷组合系统风险度量计算框架。描述了允许计算投资组合级别的系统风险度量（标准差、VaR和预期缺口）以及将风险分配到单个交易的技术。基础模型是行业标准的多因子默顿型模型，在地平线上具有任意估值函数（与单纯的违约情况相反）。通过与蒙特卡罗模拟的对比，证明了所提出的分析技术的高精度。
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英文标题：
《Analytical Framework for Credit Portfolios. Part I: Systematic Risk》
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作者：
Mikhail Voropaev
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures (standard deviation, VaR and Expected Shortfall) as well as allocation of risk down to individual transactions. The underlying model is the industry standard multi-factor Merton-type model with arbitrary valuation function at horizon (in contrast to the simplistic default-only case). High accuracy of the proposed analytical technique is demonstrated by benchmarking against Monte Carlo simulations.
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PDF链接：
https://arxiv.org/pdf/0911.0223