A semi-analytical method for VaR and credit exposure analysis (Q2480235): Difference between revisions
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| Property / author: Ian Iscoe / rank | |||
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| Property / author: Ian Iscoe / rank | |||
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| Property / describes a project that uses: RiskMetrics / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1007/s10479-006-0123-7 / rank | |||
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| Property / OpenAlex ID: W2029508581 / rank | |||
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| Property / cites work: Q5444297 / rank | |||
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| Property / cites work: Large portfolio losses / rank | |||
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| Property / cites work: Q4391441 / rank | |||
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Latest revision as of 19:32, 27 June 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semi-analytical method for VaR and credit exposure analysis |
scientific article |
Statements
A semi-analytical method for VaR and credit exposure analysis (English)
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31 March 2008
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portfolio distribution
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value-at-risk
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credit exposure
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large deviations
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portfolio compression
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