Open AccessGranularity Adjustment for Mark-to-Market Credit Risk Models
Author(s) -
Michael B. Gordy,
James V. Marrone
Publication year - 2010
Publication title -
finance and economics discussion series
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2010.37
Subject(s) - stylized fact , expected shortfall , portfolio , granularity , computer science , econometrics , benchmark (surveying) , value at risk , credit risk , counterintuitive , comparative statics , economics , portfolio optimization , actuarial science , risk management , mathematical economics , mathematical optimization , mathematics , microeconomics , financial economics , finance , philosophy , geodesy , epistemology , macroeconomics , geography , operating system