Tail approximations for portfolio credit risk
Year of publication: |
2004
|
---|---|
Authors: | Glasserman, Paul |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 12.2004, 2, p. 24-42
|
Subject: | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk |
-
Uquillas, Adriana, (2022)
-
The calibration of the IRB supervisory formula : a case study
Casellina, Simone, (2023)
-
Mean-variance hedging of contingent claims with random maturity
Kladívko, Kamil, (2023)
- More ...
-
Valuing the Treasury's Capital Assistance Program
Glasserman, Paul, (2009)
-
Hedging with trees : advances in pricing and risk managing derivatives
Broadie, Mark Nathan, (1998)
-
Monte Carlo methods in financial engineering
Glasserman, Paul, (2003)
- More ...