Multi-factor Granularity Adjustments for Market and Counterparty Risks

Jean-David Fermanian () and Clément Florentin ()
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Jean-David Fermanian: ENSAE-CREST
Clément Florentin: ENSAE

No 2016-35, Working Papers from Center for Research in Economics and Statistics

Abstract: We propose several multi-factor families of models for large portfolios of ?nancial assets. The goal is to evaluate their market risk and/or their counterparty risk quantitatively. Explicit closed-form formulas of granularity adjustments are provided, to approximate their value-at-risks. We prove the relevance of such analytic approximations through simulations.

Keywords: Granularity adjustments; value-at-risk; counterparty risk; market risk; elliptical distributions. (search for similar items in EconPapers)
Pages: 33
Date: 2016-10
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