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How Robust is the Value-at-Risk of Credit Risk Portfolios?
16 references·1 citing·38 second hop
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References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2015Rule of Law and Constitutional Democracy805 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 1981Recursive Evaluation of a Family of Compound Distributions571 cited
  • 2013Model uncertainty and VaR aggregation295 cited
  • 2013Insurance: Mathematics and Economics239 cited
  • 2003Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs193 cited
  • 2003Dependent defaults in models of portfolio credit risk190 cited
  • 2003The empirical relationship between average asset correlation, firm probability of default, and asset size190 cited
  • 1999Stochastic bounds on sums of dependent risks137 cited
  • 2013Risk aggregation with dependence uncertainty133 cited
  • 2004Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs128 cited
  • 2011

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Computation of sharp bounds on the distribution of a function of dependent risks
123 cited
  • 2015Value‐at‐Risk Bounds With Variance Constraints102 cited
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    • 2016VaR Bounds for Joint Portfolios with Dependence Constraints30 cited