A new robust importance-sampling method for measuring value-at-risk and expected shortfall alloctions for credit portfolios
Trond Reitan; Kjersti Aas
| Year of publication: |
2010
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|---|---|
| Authors: | Reitan, Trond ; Aas, Kjersti |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Incisive Media, ISSN 1744-6619, ZDB-ID 21704223. - Vol. 6.2010/11, 4, p. 113-149
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| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Language: | English |
| Source: |
Persistent link: https://www.econbiz.de/10009932493