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Analytical value-at-risk with jumps and credit risk · Study

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ArticleAnalytical value-at-risk with jumps and credit risk

Darrell Duffie2001

Article2001

Analytical value-at-risk with jumps and credit risk

Darrell Duffie · Jun Pan

158 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999Modeling Term Structures of Defaultable Bonds 1997An Overview of Value at Risk 1997An Econometric Model of the Term Structure of Interest-Rate Swap Yields 1996Scenario Simulation: Theory and methodology 1998Stress Testing in a Value at Risk Framework

Cited by

2006On time-scaling of risk and the square-root-of-time rule 2010Realised quantile-based estimation of the integrated variance 2016On the Measurement of Economic Tail Risk 2015Risk Estimation via Regression 2013Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks 2004On the controversy over tailweight of distributions 2013Stock Price Jumps and Cross-Sectional Return Predictability

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Year2001

Typearticle

Published2001-04-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations158

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/pl00013531

openalex_workW1966210751

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2011

Fact or Friction: Jumps at Ultra High Frequency