How to capture the concentration risk within the credit portfolio -- by Granularity Adjustment Method
碩士 === 東吳大學 === 商用數學系 === 94 === Generally, if we want to capture the portfolio concentration risk in calculating Credit Value-at-Risk (Credit VaR), the better way is Monte Carlo Simulation (MCS) which is vast time-consumed. Gordy (2003) proposed a new method called Granularity Adjustment Method (GA...
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| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/19448743375032108276 |