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:	2000
Authors:	Yang, Hailiang
Published in:	Multinational Finance Journal. - Multinational Finance Society - MFS. - Vol. 4.2000, 3-4, p. 201-219
Publisher:	Multinational Finance Society - MFS
Subject:	credit rating \| default risk \| integrated risk management \| Markov chain \| value at risk

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Type of publication:	Article
Classification:	G10 - General Financial Markets. General ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010937079