Pages that link to "Item:Q2185453"
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The following pages link to Model-free computation of risk contributions in credit portfolios (Q2185453):
Displaying 7 items.
- Exposure at default models with and without the credit conversion factor (Q323002) (← links)
- Nonparametric density estimation and bandwidth selection with B-spline bases: a novel Galerkin method (Q830102) (← links)
- Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution (Q2242773) (← links)
- A fast wavelet expansion technique for evaluation of portfolio credit risk under the Vasicek multi-factor model (Q2452285) (← links)
- A fast wavelet expansion technique for Vasicek multi-factor model of portfolio credit risk (Q2843200) (← links)
- Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge (Q3119670) (← links)
- Spline local basis methods for nonparametric density estimation (Q6158228) (← links)