We propose several multi-factor families of models for large portfolios of ?nancial assets. The goal is to evaluate their market risk and/or their counterparty risk quantitatively. Explicit closed-form formulas of granularity adjustments are provided, to approximate their value-at-risks. We prove the relevance of such analytic approximations through simulations.

中文翻译：

---

针对市场和交易对手风险的多因素粒度调整

我们为大型金融资产投资组合提出了几个多因素模型系列。目标是定量评估他们的市场风险和/或他们的交易对手风险。提供了粒度调整的显式封闭式公式，以估算其风险价值。我们通过模拟证明了这种解析近似的相关性。