Fast Computation Of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model (Q6475733)
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scientific article; zbMATH DE number 900058657
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| English | Fast Computation Of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model |
scientific article; zbMATH DE number 900058657 |
Statements
4 July 2005
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math.ST
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math.PR
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q-fin.CP
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q-fin.RM
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stat.TH
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