Simulation of coherent risk measures based on generalized scenarios
Vadim Lesnevski; Barry L. Nelson; Jeremy Staum
| Year of publication: |
2007
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|---|---|
| Authors: | Lesnevski, Vadim ; Nelson, Barry L. ; Staum, Jeremy |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 53.2007, 11, p. 1756-1769
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| Subject: | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Simulation | Operations Research | Operations research |
| 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/10003593245