Archived publication

Archived publication

A new robust importance sampling method for measuring VaR and ES allocations for credit portfolios

Aas, Kjersti; Reitan, Trond

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: