Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge
Author:
Affiliation:
1. Natixis, Market Risk Management, , France E-mails: noureddine.lehdili@natixis.com, arshia.givi-ext@natixis.com, arshia.givi@yahoo.com
Publisher
IOS Press
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Finance,Statistics and Probability
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