Measuring marginal risk contributions in credit portfolios (Q5400661): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
ReferenceBot (talk | contribs) Changed an Item |
||
| Property / cites work | |||
| Property / cites work: Coherent Measures of Risk / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: An axiomatic characterization of capital allocations of coherent risk measures / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Measuring marginal risk contributions in credit portfolios / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Capital allocation for credit portfolios with kernel estimators / rank | |||
Normal rank | |||
Latest revision as of 09:49, 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)
0 references
4 March 2014
0 references
credit risk
0 references
risk measures
0 references
financial modelling
0 references
Monte Carlo methods
0 references
numerical simulation
0 references
0 references
