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The aim of this paper is to combine two hitherto unrelated lines of research, namely the granularity adjustment technique for unsystematic credit risk and the theory of coherent risk measures. In theexisting literature, it has always been taken for granted that such a granularity adjustment is...
Persistent link: https://www.econbiz.de/10005850997
Value at risk (VaR) is today the standard tool in risk management for banks and other financial institutions.
Persistent link: https://www.econbiz.de/10005850999