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subject:"Credit risk"
~person:"Lütkebohmert-Holtz, Eva"
~type_genre:"Aufsatz in Zeitschrift"
~type_genre:"Working Paper"
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Lütkebohmert-Holtz, Eva
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Calculating capital charges for sector concentration risk
Kurtz, Cornelius
;
Lütkebohmert-Holtz, Eva
;
Sester, Julian
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
4
,
pp. 35-67
Persistent link: https://www.econbiz.de/10012041800
Saved in:
2
Value-at-risk computations in stochastic volatility models using second-order weak approximation schemes
Lütkebohmert-Holtz, Eva
;
Matchie, Lydienne
- In:
International journal of theoretical and applied finance
17
(
2014
)
1
,
pp. 1-26
Persistent link: https://www.econbiz.de/10010363958
Saved in:
3
Failure of the saddlepoint method in the presence of double defaults
Lütkebohmert-Holtz, Eva
- In:
Journal of risk
15
(
2012/13
)
1
,
pp. 71-89
Persistent link: https://www.econbiz.de/10009657964
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