Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model
Year of publication: |
2005
|
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Authors: | Okunev, Pavel |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Griechenland | Greece | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Kreditrisiko | Credit risk |
Extent: | 1 Online-Ressource (9 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2005 erstellt |
Other identifiers: | 10.2139/ssrn.758505 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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