search query: @indexterm Portfolio management / total: 694
reference: 55 / 694
| Author: | Pykhtin, M. |
| Title: | Multi-factor adjustment |
| Journal: | Risk
2004 : MAR, VOL. 17:3, p. 85-90 |
| Index terms: | Portfolio management Risk management Financial markets Models |
| Language: | eng |
| Abstract: | Multi-factor Merton-type portfolio credit risk models have become popular among risk management practitioners. Implementations of these models mostly rely on Monte Carlo simulations, while analytical methods have been limited to one-factor case. The article presents an analytical method for calculating portfolio value-at-risk and expected shortfall in the multi-factor Merton framework. This method is essentially an extension of the granularity adjustment technique to a new dimension. |
SCIMA