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Article: An integrated risk management method: VaR Approach
| Title | An integrated risk management method: VaR Approach |
|---|---|
| Authors | |
| Keywords | Credit rating Default risk Intefrated risk management Markov chain Value at risk |
| Issue Date | 2000 |
| Publisher | Multinational 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? |
| 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 included |
| Persistent Identifier | http://hdl.handle.net/10722/83034 |
| ISSN | 2023 SCImago Journal Rankings: 0.119 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Yang, H | - |
| dc.date.accessioned | 2010-09-06T08:36:10Z | - |
| dc.date.available | 2010-09-06T08:36:10Z | - |
| dc.date.issued | 2000 | - |
| dc.identifier.citation | Multinational Finance Journal, 2000, v. 4 n. 3&4, p. 201-219 | - |
| dc.identifier.issn | 1096-1879 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/83034 | - |
| dc.description.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 included | - |
| dc.language | eng | - |
| dc.publisher | Multinational Finance Society. The Journal's web site is located at http://mfs.rutgers.edu/journal.html | - |
| dc.relation.ispartof | Multinational Finance Journal | - |
| dc.subject | Credit rating | - |
| dc.subject | Default risk | - |
| dc.subject | Intefrated risk management | - |
| dc.subject | Markov chain | - |
| dc.subject | Value at risk | - |
| dc.title | An integrated risk management method: VaR Approach | - |
| dc.type | Article | - |
| dc.identifier.openurl | http://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+Approach | en_HK |
| dc.identifier.email | Yang, H: hlyang@hkusua.hku.hk | - |
| dc.identifier.authority | Yang, H=rp00826 | - |
| dc.identifier.hkuros | 65328 | - |
| dc.identifier.volume | 4 | - |
| dc.identifier.issue | 3&4 | - |
| dc.identifier.spage | 201 | - |
| dc.identifier.epage | 219 | - |
| dc.publisher.place | United States | - |
| dc.identifier.issnl | 1096-1879 | - |