English, Article, Journal or magazine article edition: The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios Norbert Jobst; Stavros A. Zenios

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Bookmark: http://trove.nla.gov.au/version/190277
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios
Author
  • Norbert Jobst
  • Stavros A. Zenios
Physical Description
  • preprint
Notes
  • Tails are of paramount importance in shaping the risk profile of portfolios with credit risk sensitive securities. In this context risk management tools require simulations that accurately capture the tails, and optimization models that limit tail effects. Ignoring the tails in the simulation or using inadequate optimization metrics can have significant effects and destroy portfolio efficiency. The resulting portfolio risk profile can be grossly misrepresented when long run performance is optimized without consideration of the short term tail effects. This paper illustrates the pitfalls and suggests models for avoiding them.
  • RePEc:wop:pennin:01-24
Language
  • English
Contributed by
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