Jun Pan () (MIT Sloan School of Management, Cambridge, MA 02142, USA Manuscript) Darrell Duffie () (Graduate School of Business, Stanford University, Stanford, CA 94305, USA)
Abstract
This paper provides an analytical approximation for computing value at risk and other risk measures for portfolios that may include options and other derivatives with defaultable counterparties or borrowers. The risk setting is that of a classical multi-factor jump-diffusion for default intensities and asset returns, under which between-jump returns are correlated Brownian motions, with return jumps at Poisson arrivals that are jointly normally distributed. This allows for fat-tailed and skewed return distributions.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Find related papers by JEL classification: G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)