综合风险管理方法:VaR方法

ERN: Value-at-Risk (Topic) Pub Date : 2015-07-07 DOI:10.17578/4-3/4-4

Hailiang Yang

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引用次数: 6

摘要

本文介绍了一种计算对市场风险、评级变化和违约风险敏感的金融工具组合的风险价值(VaR)的简单方法。建立了市场风险与信用风险的综合模型。采用Jarrow, Lando和Turnbull模型(即马尔可夫链模型)来表示信用评级的动态。给出了VaR的计算方法。数值说明结果包括。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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An Integrated Risk Management Method: VaR Approach

This article presents a simple methodology for computing Value at Risk (VaR) for a portfolio of financial instruments that is sensitive to market risk, rating change, and default risk. An integrated model for market and credit risks is developed. The Jarrow, Lando and Turnbull model (the Markov chain model) is used to represent the dynamics of the credit rating. Procedures for calculating VaR are presented. Numerical illustration results are included.

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ERN: Value-at-Risk (Topic)

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