Expected shortfall under a model with market and credit risks

International Series in Operations Research and Management Science

Volumn 104, Issue , 2007, Pages 91-100

  Siu, Kin Bong ^a   Yang, Hailiang ^a  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Coherent risk measure; Credit ranking; Credit risk; Expected shortfall; Market risk; Markov chain; Value at Risk; Weak Markov chain

Indexed keywords

EID: 84955109883     PISSN: 08848289     EISSN: None     Source Type: Book Series    
DOI: None     Document Type: Chapter

References (16)

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