منابع مشابه
Granularity adjustment for risk measures: Systematic vs unsystematic risks
The granularity principle [Gordy (2003)] allows for closed form expressions of the risk measures of a large portfolio at order 1/n, where n is the portfolio size. The granularity principle yields a decomposition of such risk measures that highlights the different effects of systematic and unsystematic risks. This paper derives the granularity adjustment of the Value-at-Risk (VaR), the Expected ...
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The impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA). In principle, the GA methodology can be applied to any risk-factor model of portfolio risk. Thus far, however, analytical results have been derived only for simple models of actuarial loss, i.e., credit loss due to defaul...
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The credit value-at-risk model underpinning the Basel II Internal Ratings-Based approach assumes that idiosyncratic risk has been diversified away fully in the portfolio, so that economic capital depends only on systematic risk contributions. We develop a simple methodology for approximating the effect of undiversified idiosyncratic risk on VaR. The supervisory review process (Pillar 2) of the ...
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This paper describes a packet network simulator whose timing granularity can shift continuously from ne, packet-level detail to coarse, conversation-level detail. Simulation run time decreases with coarser timing granularity, but the details in the underlying model become faded as the timing granularity coarsens. The ner the gran-ularity, the slower but more precise the simulation. If a simulat...
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ژورنال
عنوان ژورنال: International Journal of Approximate Reasoning
سال: 2013
ISSN: 0888-613X
DOI: 10.1016/j.ijar.2013.01.003