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

Reitan, Trond; Aas, Kjersti

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: