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X. Huang, C.W. Oosterlee (Kees) and M.A.M. Mesters

2007-09-01

Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model -- a comparative study

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Journal of Credit Risk , Volume 3 - Issue 3 p. 75- 96

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THEME Life Sciences (theme 5), Energy (theme 4)
Publisher incisive media
Journal Journal of Credit Risk
Organisation Scientific Computing
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Huang, X, Oosterlee, C.W, & Mesters, M.A.M. (2007). Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model -- a comparative study. Journal of Credit Risk, 3(3), 75–96.
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See Also
article
Higher order saddlepoint approximations in the Vasicek portfolio credit loss model
X. Huang, C.W. Oosterlee (Kees) and J.A.M. van der Weide (Hans)
article
Higher order saddlepoint approximations in the Vasicek portfolio credit loss model
X. Huang, C.W. Oosterlee (Kees) and J.A.M. van der Weide (Hans)

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