Article ID Journal Published Year Pages File Type
5089847 Journal of Banking & Finance 2012 15 Pages PDF
Abstract
► Granularity adjustment of value-at-risk and expected shortfall is extended to a large class of mark-to-market models of portfolio credit risk. ► We apply our methodology to CreditMetrics and KMV Portfolio Manager as benchmark models. ► Comparative statics reveal counterintuitive patterns. ► We explain these patterns with a stylized model of portfolio risk.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Granularity adjustment for mark-to-market credit risk models
Authors
, ,