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Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: Application to default risk charge
Lehdili, Noureddine, Givi, ArshiaLanguage:
english
Journal:
Risk and Decision Analysis
DOI:
10.3233/RDA-180042
Date:
August, 2018
File:
PDF, 474 KB
english, 2018