Granularity adjustment for risk measures: systematic vs unsystematic risks

DOI10.1016/j.ijar.2013.01.003zbMath1316.91015OpenAlexW1974926624MaRDI QIDQ2353916

Christian Gouriéroux, Patrick Gagliardini

Publication date: 10 July 2015

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2013.01.003

zbMATH Keywords

credit riskvalue-at-riskgranularitysystematic riskloss given defaultlarge portfolio

Mathematics Subject Classification ID

Related Items (2)

Granularity Adjustment for Efficient Portfolios ⋮ Insurance Portfolio Risk Retention

Uses Software

• CreditRisk+

Cites Work

• Importance Sampling for Portfolio Credit Risk
• Symmetric Measures on Cartesian Products
• Tests of Conditional Predictive Ability
• A Note on Quantiles in Large Samples

This page was built for publication: Granularity adjustment for risk measures: systematic vs unsystematic risks