Archived publication
Archived publication
A new robust importance sampling method for measuring VaR and ES allocations for credit portfolios
September 04, 2009
SAMBA
- Refereed: 1
- Conference: 3rd European Risk Conference: "Risk and Accounting", London
- Title: A new robust importance sampling method for measuring VaR and ES allocations for credit portfolios
- Author(s): Aas, Kjersti; Reitan, Trond
- Published date: September 04, 2009
- Page(s):
- ISBN:
- Publisher: