Measuring marginal risk contributions in credit portfolios
From MaRDI portal
Publication:5400661
DOI10.1080/14697688.2012.742203zbMath1282.91379MaRDI QIDQ5400661
Publication date: 4 March 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.742203
Related Items
Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure, Measuring marginal risk contributions in credit portfolios, Tail dependence and heavy tailedness in extreme risks, Avoiding zero probability events when computing value at risk contributions, Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
Cites Work
- Coherent Measures of Risk
- Computation of Compound Distributions II: Discretization Errors and Richardson Extrapolation
- An axiomatic characterization of capital allocations of coherent risk measures
- Capital allocation for credit portfolios with kernel estimators
- Measuring marginal risk contributions in credit portfolios
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION