A new robust importance-sampling method for measuring value-at-risk and expected shortfall alloctions for credit portfolios
Trond Reitan; Kjersti Aas
| Year of publication: |
2010
|
|---|---|
| Authors: | Reitan, Trond ; Aas, Kjersti |
| Published in: |
The journal of credit risk : published quarterly by Incisive Media. - London : Infopro Digital, ISSN 1744-6619, ZDB-ID 2170422-3. - Vol. 6.2010/11, 4, p. 113-149
|
| Subject: | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Faktorenanalyse | Factor analysis | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10008807720