Model-free computation of risk contributions in credit portfolios (Q2185453)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model-free computation of risk contributions in credit portfolios |
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Model-free computation of risk contributions in credit portfolios (English)
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4 June 2020
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credit risk
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value-at-risk
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expected shortfall
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portfolio risk contributions
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Shannon wavelets
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non-parametric density estimation
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