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Persistent link: https://www.econbiz.de/10011442455
We provide an analytical VaR approach for the credit portfolio with liquidity horizon and the constant level of risk. Given any time horizon, a two period credit portfolio loss model is derived and, at the end of the first period, the portfolio is rebalanced to ensure a constant level risk of...
Persistent link: https://www.econbiz.de/10013053930