An Integrated Risk Management Method: VaR Approach

Hailiang Yang ()
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Hailiang Yang: The University of Hong Kong, Hong Kong

Multinational Finance Journal, 2000, vol. 4, issue 3-4, 201-219

Abstract: 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 chain model) is used to represent the dynamics of the credit rating. Procedures for calculating VaR are presented. Numerical illustration results are included.

Keywords: credit rating; default risk; integrated risk management; Markov chain; value at risk (search for similar items in EconPapers)
JEL-codes: D81 G10 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:mfj:journl:v:4:y:2000:i:3-4:p:201-219

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