How robust is the value-at-risk of credit risk portfolios?
Year of publication: |
March-April 2017
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Authors: | Bernard, Carole ; Rüschendorf, Ludger ; Vanduffel, Steven ; Yao, Jing |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 23.2017, 4/6, p. 507-534
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Subject: | rearrangement algorithm | moment bounds | value-at-risk | credit risk portfolio | minimum variance | Theorie | Theory | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
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