Yong Wang

Everbright Securities Company Limited

1508 Xinzha Road, 20th Floor

Jing’an District

Shanghai, 200040

China

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Scholarly Papers (1)

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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
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Abstract:

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