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

Publikasjonsdetaljer

  • Journal: The Journal of Credit Risk, vol. 6, p. 113–149–37, 2010
  • Internasjonale standardnumre:
    • Trykt: 1744-6619
    • Elektronisk: 1755-9723