Integrated Risk Measurement for Portfolio of Various Assets at Continuous Time Horizons

Abstract Different financial products usually have very different risk profiles. In the finan- cial Industry, risk measures based on VaR for financial products are either dominant market VaR or credit VaR or Add VaR, which is obtained by evaluating market VaR and credit VaR separately and then add them together. The regulatory capi- tal required by regulators is then computed according to the VaR, which will either underestimate or overestimate the products risks. In order to reasonably measure market risk and credit risk together, in this