A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios

Publication details

• Journal: The Journal of Credit Risk, vol. 6, 2011
• International Standard Numbers:
  • Printed: 1744-6619
  • Electronic: 1755-9723
• Link:
  • FULLTEKST: http://www.journalofcreditrisk.com/public/showPage.html?validate=0&page=jcr_login2&url=%2Fpublic%2FshowPage.html%3Fpage%3D875276