Evaluation of credit risk of a portfolio with stochastic interest rate and default processes

Masaaki Kijima, Yukio Muromachi
2000 Journal of Risk  
and risk of the portfolio in a synthetic manner. It is shown that value at risk (VaR) of the portfolio is approximately evaluated as a closed form solution.
doi:10.21314/jor.2000.037 fatcat:kn4pzlwpafd2dokjuqwxrxf6ly