Measuring default risk for a portfolio of equities

DOI10.1142/S0219024919500122MaRDI QIDQ3121234zbMATH OpenOpenAlexFDO

Authors Matheus Pimentel Rodrigues, Andre Cury Maialy

Publication date 15 March 2019

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024919500122

zbMATH Keywords

default riskequitiesFRTBmulti-factor model

Mathematics Subject Classification ID

Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Recommendations

• The default risk charge approach to regulatory risk measurement processes
• Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge
• Default correlations in the Merton model
• Credit risk. Measurement, evaluation and management
• Measuring systemic risk. A probabilistic perspective

Cites work

• scientific article; zbMATH DE number 5723836 (Why is no real title available?)
• The pricing of options and corporate liabilities

Cited in

(2)

• The default risk charge approach to regulatory risk measurement processes
• Default risk and equity returns: evidence from the Taiwan equities market

This page was built for publication: Measuring default risk for a portfolio of equities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3121234)