Analytical value-at-risk with jumps and credit risk
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.
Volume (Year): 5 (2001)
Issue (Month): 2 ()
|Note:||received: January 2000; final version received: May 2000|
|Contact details of provider:|| Web page: http://www.springerlink.com/content/101164/ |
|Order Information:||Web: http://link.springer.de/orders.htm|
When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:5:y:2001:i:2:p:155-180. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F Baum)
If references are entirely missing, you can add them using this form.