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Analytical value-at-risk with jumps and credit risk |
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| Authors: | Darrell Duffie Jun Pan |
| Affiliation: | (1) Graduate School of Business, Stanford University, Stanford, CA 94305, USA (e-mail: duffie@stanford.edu) , US;(2) MIT Sloan School of Management, Cambridge, MA 02142, USA (e-mail: junpan@mit.edu) , US |
| Abstract: | |
| Keywords: | : Value-at-risk credit risk jump risk analytical VaR delta-gamma approximation |
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