An integrated risk management method: VaR Approach
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
Markov chain, Credit rating, Default risk, Value at risk, Intefrated risk management
Publisher: 'United States Sports Academy'
DOI identifier: 10.17578/4-3/4-4
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