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Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge
Lehdili, Noureddine
;
Givi, Arshia
- In:
Risk and decision analysis
7
(
2018
)
3/4
,
pp. 91-105
Persistent link: https://www.econbiz.de/10012174432
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