Eugene Wang

RBC Financial Group

Canada

SCHOLARLY PAPERS

3

DOWNLOADS

483

CITATIONS

5

Scholarly Papers (3)

1.

Transition Probability Matrix Methodology for Incremental Risk Charge

Number of pages: 44 Posted: 12 Feb 2011
RBC Financial Group, affiliation not provided to SSRN, RBC Financial Group and RBC Financial Group
Downloads 346 (85,506)
Citation 5

Abstract:

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Basel II, Trading Book, Incremental Risk Charge, Default Probability, Default Correlation, Transition Probability Matrix, Generator Matrix, Credit Portfolio

2.

An Analytical VaR Approach for Credit Portfolio with Liquidity Horizon and Portfolio Rebalancing

Number of pages: 40 Posted: 22 May 2014 Last Revised: 24 May 2014
York University, RBC Financial Group, York University - Department of Mathematics and Statistics and RBC Financial Group
Downloads 137 (209,029)

Abstract:

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IRC, IDR, Liquidity Horizon, Credit Portfolio Rebalancing, Analytic VaR, Granularity Adjustment

3.

An Analytical Value-at-Risk Approach for a Credit Portfolio with Liquidity Horizon and Portfolio Rebalancing

Journal of Credit Risk, Vol. 11, No. 4, 2015
Number of pages: 28 Posted: 16 Jun 2016
York University, RBC Financial Group, York University - Department of Mathematics and Statistics and Everbright Securities Company Limited
Downloads 0 (665,900)
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Abstract:

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analytical value-at-risk, granularity adjustment, incremental risk charge, portfolio rebalancing, liquidity horizon