Archived publication
Archived publication
A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios
December 31, 2010
SAMBA
- ISBN:
- Author(s): Reitan, Trond; Aas, Kjersti
- Title: A new robust importance-sampling method for measuring value-at-risk and expected shortfall allocations for credit portfolios
- Volume/number: 6
- Name and number of project: SFI-Total Risk 220302
- Journal: Journal of Credit Risk
- Page(s): 1-37
- Conference:
- Refereed: 1
- Publisher:
- Published date: December 31, 2010
- Book title:
- Editor: