VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights
By Rüdiger Frey, Alexander J. McNeil. 2002
188 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/e0d5a277fc4eeb3f7453fdf6091df4e8983c23ee
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Alexander J. McNeil
- Kay Giesecke
- Stefan Weber
- Rüdiger Frey
- Andrew J. Patton
- Paul Embrechts
- Toshinao Yoshiba
- Filip Lindskog
In Management Science and Operations Research
- Kay Giesecke
- Stefan Weber
- Alexander J. McNeil
- Filip Lindskog
- Rüdiger Frey
- Esther Frostig
- Toshinao Yoshiba
- Yasuhiro Yamai
Citations in the corpus
- Cyclical correlations, credit contagion, and portfolio losses (2004, methodology): “Analogous large portfolio approximations have been proven extremely useful in the context of Bernoulli mixture models, see for example Vasicek (1987), Frey and McNeil (2002), Lucas et al.”
- Applying importance sampling for estimating coherent credit risk contributions (2004, background): “In [8] Frey and McNeil show that the incoherence of VaR can cause a contradictory asset allocation for mean-VaR based credit portfolio optimization.”
- KENDALL'S TAU FOR ELLIPTICAL DISTRIBUTIONS ∗ (2003, background): “distributions can be profound, see the simulation studies in [ 6 ] and [7].”
- Dependent defaults in models of portfolio credit risk (2003, methodology): “This model is much the same as a one-factor exchangeable version of CreditRisk+, as is shown in Frey and McNeil (2002).”
- CORRELATED DEFAULT WITH INCOMPLETE INFORMATION (2004, background): “In fact, for fixed horizon T , we can view the historical asset low M iT as a latent variable with associated cut-off level Di, so that (M i T , Di)i∈I can be considered as a latent variable default model in the sense of Frey & McNeil (2001) and Frey & McNeil (2002).”
- Association and heterogeneity of insured lifetimes in the Lee–Carter framework (2007, background): “This result can be seen as a direct consequence of Proposition 3.2 in Frey & McNeil (2002).”
- Value-at-risk versus expected shortfall: A practical perspective (2005, background): “12 For VaR and expected shortfall in credit portfolio, see also Frey and McNeil (2002), for example.”