Yang, Hailiang - In: Multinational Finance Journal 4 (2000) 3-4, pp. 201-219
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...