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Article: An integrated risk management method: VaR Approach

TitleAn integrated risk management method: VaR Approach
Authors
KeywordsCredit rating
Default risk
Intefrated risk management
Markov chain
Value at risk
Issue Date2000
PublisherMultinational Finance Society. The Journal's web site is located at http://mfs.rutgers.edu/journal.html
Citation
Multinational Finance Journal, 2000, v. 4 n. 3&4, p. 201-219 How to Cite?
AbstractThis 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 included
Persistent Identifierhttp://hdl.handle.net/10722/83034
ISSN

 

DC FieldValueLanguage
dc.contributor.authorYang, H-
dc.date.accessioned2010-09-06T08:36:10Z-
dc.date.available2010-09-06T08:36:10Z-
dc.date.issued2000-
dc.identifier.citationMultinational Finance Journal, 2000, v. 4 n. 3&4, p. 201-219-
dc.identifier.issn1096-1879-
dc.identifier.urihttp://hdl.handle.net/10722/83034-
dc.description.abstractThis 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 included-
dc.languageeng-
dc.publisherMultinational Finance Society. The Journal's web site is located at http://mfs.rutgers.edu/journal.html-
dc.relation.ispartofMultinational Finance Journal-
dc.subjectCredit rating-
dc.subjectDefault risk-
dc.subjectIntefrated risk management-
dc.subjectMarkov chain-
dc.subjectValue at risk-
dc.titleAn integrated risk management method: VaR Approach-
dc.typeArticle-
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1096-1879&volume=4&issue=3&4&spage=201&epage=220&date=2000&atitle=An+integrated+risk+management+method:+VaR+Approachen_HK
dc.identifier.emailYang, H: hlyang@hkusua.hku.hk-
dc.identifier.authorityYang, H=rp00826-
dc.identifier.hkuros65328-
dc.identifier.volume4-
dc.identifier.issue3&4-
dc.identifier.spage201-
dc.identifier.epage219-
dc.publisher.placeUnited States-

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