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Granularity adjustment for risk measures: systematic vs unsystematic risks - MaRDI portal

Granularity adjustment for risk measures: systematic vs unsystematic risks (Q2353916)

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Granularity adjustment for risk measures: systematic vs unsystematic risks
scientific article

    Statements

    title
    Granularity adjustment for risk measures: systematic vs unsystematic risks (English)
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    publication date
    10 July 2015
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    zbMATH Keywords
    value-at-risk
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    granularity
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    large portfolio
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    credit risk
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    systematic risk
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    loss given default
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    Identifiers

    zbMATH DE Number
    6457120
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    OpenAlex ID
    W1974926624
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