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Granularity adjustment for mark-to-market credit risk models

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  • Michael B. Gordy
  • James Marrone

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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 2010-37.

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Date of creation: 2010
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Handle: RePEc:fip:fedgfe:2010-37

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Related research

Keywords: Risk management ; Econometric models;

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  1. Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000.
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