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The role of market-implied severity modeling for credit VaR
Baixauli, J. Samuel; Alvarez, Susana - In: Annals of economics and finance 11 (2010) 2, pp. 337-353
Persistent link: https://www.econbiz.de/10008840329
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Implied severity density estimation : an extended semiparametric method to compute credit value at risk
Baixauli, J. Samuel; Alvarez, Susana - In: Computational economics 40 (2012) 2, pp. 115-129
Persistent link: https://www.econbiz.de/10009627482