Haohan Huang

York University

4700 Keele Street

Toronto, Ontario M3J 1P3

Canada

RBC Financial Group

Canada

SCHOLARLY PAPERS

2

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137

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

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
Haohan Huang, Eugene Wang, Huang Huaxiong and Yong Wang
York University, RBC Financial Group, York University - Department of Mathematics and Statistics and RBC Financial Group
Downloads 137 (212,276)

Abstract:

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

2.

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
Haohan Huang, Eugene Wang, Huang Huaxiong and Yong Wang
York University, RBC Financial Group, York University - Department of Mathematics and Statistics and Everbright Securities Company Limited
Downloads 0 (674,284)
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Abstract:

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