Computation of risk contribution in the Vasicek portfolio credit loss model

Abstract

For the calculation of the VaR contribution in the Vasicek one‐factor portfolio credit loss model, two methods, namely the saddlepoint approximation and importance sampling, are very attractive in terms of accuracy, speed and robustness. We explore their connection with the Esscher transform. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)