The practice of Delta-Gamma VaR: implementing the quadratic portfolio model

Article Abstract:

The quadratic portfolio model, Delta-Gamma, and the risk factor returns as multi-normal random variables are discussed. The main approaches to Delta-Gamma VaR weighing their merits and accuracy from an implementation-oriented standpoint are presented.

Stochastic processes

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An integrated pricing model for defaultable loans and bonds

Article Abstract:

An integrated credit risk measurement model is presented for financial risk management. Various aspects such as asset pricing, stochastic recovery rates, seniority of debt and integration of market are discussed.

United Kingdom, United States, Credit, Default (Finance)

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A measure of risk and a decision-making model based on expected utility and entropy

Article Abstract:

A method of assessing the repercussions of each risky decision is presented using the classical decision model.

China, Decision-making, Decision making, Usage, Mathematical models

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