Granularity adjustment for mark-to-market credit risk models

Journal of Banking and Finance

Volumn 36, Issue 7, 2012, Pages 1896-1910

  Gordy, Michael B ^a   Marrone, James ^b  

^a FEDERAL RESERVE BOARD   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Expected shortfall; Granularity adjustment; Idiosyncratic risk; Portfolio credit risk; Value at risk

Indexed keywords

EID: 84860882880     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2012.02.010     Document Type: Article

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