An Integrated Risk Management Method : VaR Approach

This article presents a simple methodology for computing Value at Risk (VaR) for a portfolio of financial instruments that is sensitive to market risk, rating change, and default risk. An integrated model for market and credit risks is developed. The Jarrow, Lando and Turnbull model (the Markov chain model) is used to represent the dynamics of the credit rating. Procedures for calculating VaR are presented. Numerical illustration results are included

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Year of publication:	2016
Authors:	Yang, Hailiang
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Risikomanagement \| Risk management \| Theorie \| Theory \| Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection

Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Multinational Finance Journal, Vol. 4, No. 3/4, p. 201-219, 2000 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 7, 2015 erstellt
Classification:	G10 - General Financial Markets. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013004297