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

Reitan, Trond; Aas, Kjersti

Publication details

Journal: The Journal of Credit Risk, vol. 6, 2011

Issue: 4

International Standard Numbers:
Printed: 1744-6619
Electronic: 1755-9723

Links:
FULLTEKST: http://www.journalofcreditrisk.com/public/showPage.html?validate=0&page=jcr_login2&url=%2Fpublic%2FshowPage.html%3Fpage%3D875276