Zhongyi Yuan

Pennsylvania State University - Smeal College of Business

University Park, PA 16802

United States

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Pricing Government Credit: A New Method for Determining Government Credit Risk Exposure

Economic Policy Review, Vol. 24, No. 3, 2018
Number of pages: 22 Posted: 10 Dec 2018
Brent W. Ambrose and Zhongyi Yuan
Pennsylvania State University and Pennsylvania State University - Smeal College of Business
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Abstract:

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capital allocation; government credit risk; marginal risk contribution; tail value-at-risk (TVaR)