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| Author: | Frey, R. McNeil, A. J. |
| Title: | VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights |
| Journal: | Journal of Banking and Finance
2002 : JUL, VOL. 26:7, p. 1317-1334 |
| Index terms: | Value-at-risk Portfolio management Risk management Financial models |
| Language: | eng |
| Abstract: | The authors address the non-coherence of value-at-risk as a risk measure in the context of portfolio credit risk, and highlight some problems which follow from this theoretical deficiency. All standard industry models are presented as Bernoulli mixture models are presented as Bernoulli mixture models to facilitate their direct comparison. An example is given showing that, for portfolios of lower quality,ยจ choice of model has some impact on measures of extreme risk. |
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