Measuring marginal risk contributions in credit portfolios (Q5400661): Difference between revisions
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| Property / cites work: Coherent Measures of Risk / rank | |||
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| Property / cites work: Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation / rank | |||
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| Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank | |||
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| Property / cites work: An axiomatic characterization of capital allocations of coherent risk measures / rank | |||
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| Property / cites work: Measuring marginal risk contributions in credit portfolios / rank | |||
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| Property / cites work: Capital allocation for credit portfolios with kernel estimators / rank | |||
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Latest revision as of 10:49, 7 July 2024
scientific article; zbMATH DE number 6265442
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Measuring marginal risk contributions in credit portfolios |
scientific article; zbMATH DE number 6265442 |
Statements
Measuring marginal risk contributions in credit portfolios (English)
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4 March 2014
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credit risk
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risk measures
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financial modelling
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Monte Carlo methods
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numerical simulation
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