Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge (Q3119670)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge |
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Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge (English)
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12 March 2019
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fundamental review of trading book
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credit risk
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default risk charge
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convex optimization
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expected shortfall
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Value-at-Risk
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conditional probabilities
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Bayes theorem
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central limit theorem
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multi-factor Merton-type models
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Vasicek model
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Monte Carlo simulations
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