Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study

Journal article (2007)

Authors

X Huang Numerical Analysis - EEMCS
C.W. Oosterlee Numerical Analysis - EEMCS
MAM Mesters External organisation
Research Group
Numerical Analysis (EEMCS) (TU Delft)
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Published Date

2007

Language

Undefined/Unknown

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis