Computational aspects of integrated market and credit portfolio models-Reference-Cited by-同舟云学术

Computational aspects of integrated market and credit portfolio models

Published:2006-11-03 Issue:2 Volume:29 Page:259-294
ISSN:0171-6468
Container-title:OR Spectrum
language:en
Short-container-title:OR Spectrum

Author:

Grundke Peter

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,Business, Management and Accounting (miscellaneous)

Link

http://link.springer.com/content/pdf/10.1007/s00291-006-0050-7.pdf

Reference51 articles.

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3. Barth J (2000) Worst-case analysis of the default risk of financial derivatives considering market factors (in German). Hamburg

4. Basel Committee on Banking Supervision (2005) International convergence of capital measurement and capital standards. A revised framework. Basel

5. Bassamboo A, Juneja S, Zeevi A (2006) Portfolio credit risk with extremal dependence: asymptotic analysis and efficient simulation. Working paper, Stanford University, Tata Institute of Fundamental Research and Columbia University

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