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An integrated risk management method: VaR Approach

By H Yang

Abstract

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 include

Topics: Markov chain, Credit rating, Default risk, Value at risk, Intefrated risk management
Publisher: 'United States Sports Academy'
Year: 2000
DOI identifier: 10.17578/4-3/4-4
OAI identifier: oai:hub.hku.hk:10722/83034
Provided by: HKU Scholars Hub
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