The Limits of Granularity Adjustments
نویسندگان
چکیده
منابع مشابه
The limits of Granularity Adjustments
We provide a rigorous proof of granularity adjustment (GA) formulas to evaluate loss distributions and risk measures (value-at-risk) in the case of heterogenous portfolios, multiple systemic factors and random recoveries. As a significant improvement with respect to the literature, we detail all the technical conditions of validity and provide an upper bound of the remainder term at a finite di...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2236267