Granularity adjustment for risk measures: Systematic vs unsystematic risks

International Journal of Approximate Reasoning

Volumn 54, Issue 6, 2013, Pages 717-747

  Gagliardini, Patrick ^a   Gouriéroux, Christian ^b,c  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b CREST   (France)

^c UNIVERSITY OF TORONTO   (Canada)

Author keywords

Credit Risk; Granularity; Large Portfolio; Loss Given Default; Systematic Risk; Value at Risk

Indexed keywords

CREDIT RISKS; GRANULARITY; LARGE PORTFOLIO; LOSS GIVEN DEFAULTS; SYSTEMATIC RISK; VALUE AT RISK;

RISK ASSESSMENT; VALUE ENGINEERING;

STOCHASTIC MODELS;

EID: 84877818007     PISSN: 0888613X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijar.2013.01.003     Document Type: Article

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