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Portfolio value-at-risk with heavy-tailed risk factors

Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - 2000

Persistent link: https://www.econbiz.de/10001496087

Large deviations in multifactor portfolio credit risk

Glasserman, Paul; Kang, Wanmo; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 17 (2007) 3, pp. 345-379

Persistent link: https://www.econbiz.de/10003626548

Tail approximations for portfolio credit risk

Glasserman, Paul - In: The journal of derivatives : the official publication … 12 (2004) 2, pp. 24-42

Persistent link: https://www.econbiz.de/10002535960

Portfolio mathematics

Glasserman, Paul - In: The professional risk managers' guide to finance theory …, (pp. 55-102). 2008

Persistent link: https://www.econbiz.de/10003677812

Calculating portfolio credit risk

Glasserman, Paul - In: Financial engineering, (pp. 437-470). 2008

Persistent link: https://www.econbiz.de/10003567702

Risk horizon and rebalancing horizon in portfolio risk measurement

Glasserman, Paul - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 214-249

Persistent link: https://www.econbiz.de/10009613204

Swing pricing : theory and evidence

Capponi, Agostino; Glasserman, Paul; Weber, Marko - In: Annual review of financial economics 15 (2023), pp. 617-640

Persistent link: https://www.econbiz.de/10014427161

Sensitivity estimates for portfolio credit derivatives using Monte Carlo

Chen, Zhiyong; Glasserman, Paul - In: Finance and stochastics 12 (2008) 4, pp. 507-540

Persistent link: https://www.econbiz.de/10003899268

Design of risk weights

Glasserman, Paul; Kang, Wanmo - In: Operations research 62 (2014) 6, pp. 1204-1220

Persistent link: https://www.econbiz.de/10010471872

Risk Horizon and Rebalancing Horizon in Portfolio Risk Measurement

Glasserman, Paul - 2011

This paper analyzes portfolio risk and volatility in the presence of constraints on portfolio rebalancing frequency. This investigation is motivated by the incremental risk charge (IRC) introduced by the Basel Committee on Banking Supervision. In contrast to the standard market risk measure...

Persistent link: https://www.econbiz.de/10013134743