Efficient exposure computation by risk factor decomposition
C. S. L. de Graaf, D. Kandhai and C. Reisinger
| Year of publication: |
2018
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|---|---|
| Authors: | Graaf, Cornelis S. L. de ; Kandhai, D. ; Reisinger, Christoph |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 10, p. 1657-1678
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| Subject: | Anchored-ANOVA decompositions for high-dimensional PDEs | Counterparty credit risk estimation | Nested conditional expectations | Kreditrisiko | Credit risk | Theorie | Theory | Dekompositionsverfahren | Decomposition method | Risiko | Risk | Risikomaß | Risk measure | Schätzung | Estimation | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1435902 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012259857