VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

Journal of Banking and Finance

Volumn 26, Issue 7, 2002, Pages 1317-1334

  Frey, Rüdiger ^a   McNeil, Alexander J ^b  

^a UNIVERSITY OF ZURICH   (Switzerland)

^b ETH ZURICH   (Switzerland)

Author keywords

Bernoulli mixture models; Coherence; Expected shortfall; Portfolio credit risk models; Risk measures; Value at risk

Indexed keywords

EID: 0036071622     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00265-0     Document Type: Article

References (17)

1. On the coherence of expected shortfall
2. Coherent measures of risk
3. A comparative analysis of current credit risk models
4. Copulas and credit models
5. Putting order in risk measures
6. A comparative anatomy of credit risk models
7. A risk-factor model foundation for ratings-based bank capital rules
8. Mixed Poisson Processes
9. Multivariate Models and Dependence Concepts
10. Value at Risk: The New Benchmark for Measuring Financial Risk
11. Reconciling the differences
12. On the pricing of corporate debt: The risk structure of interest rates
13. Portfolio credit risk I and II