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, p. 113–149–37, 2010

Issue: 4

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