Model-free computation of risk contributions in credit portfolios (Q2185453)
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scientific article; zbMATH DE number 7208722
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| English | Model-free computation of risk contributions in credit portfolios |
scientific article; zbMATH DE number 7208722 |
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Model-free computation of risk contributions in credit portfolios (English)
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4 June 2020
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credit risk
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value-at-risk
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expected shortfall
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portfolio risk contributions
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Shannon wavelets
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non-parametric density estimation
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0.8309336304664612
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0.8280490636825562
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0.8180108070373535
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0.810063898563385
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