Preliminary

This paper provides an analytical method for computing value at risk, and other risk measures, for portfolios that may include options and other derivatives, with de-faultable counterparties or borrowers. The risk setting is that of a classical multi-factor jump-diusion for default intensities and asset returns, under which between-jump re-turns are correlated Brownian motions, with return jumps at Poisson arrivals that are jointly normally distributed. This allows for fat-tailed and skewed return distributions