Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study
Journal Article
(2007)
Author(s)
X Huang (TU Delft - Numerical Analysis)
C. W. Oosterlee (TU Delft - Numerical Analysis)
MAM Mesters (External organisation)
Research Group
Numerical Analysis
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Publication Year
2007
Research Group
Numerical Analysis
Issue number
3
Volume number
3
Pages (from-to)
75-96
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