An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
Haohan Huang, Eugene Wang, Huaxiong Huang and Yong Wang
| Year of publication: |
December 2015
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| Authors: | Huang, Haohan ; Wang, Eugene ; Huang, Huaxiong ; Wang, Yong |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 11.2015, 4, p. 1-28
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| Subject: | analytical value-at-risk | granularity adjustment | incremental risk charge | portfolio rebalancing | liquidity horizon | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Basler Akkord | Basel Accord | Liquidität | Liquidity | Aktienmarkt | Stock market |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011442455