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

2007-09-01

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

Additional Metadata
THEME	Life Sciences (theme 5), Energy (theme 4)
Publisher	incisive media
Journal	Journal of Credit Risk
Organisation	Scientific Computing
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	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.

See Also
article Higher order saddlepoint approximations in the Vasicek portfolio credit loss model X. Huang, C.W. Oosterlee (Kees) and J. van der Weide
article Higher order saddlepoint approximations in the Vasicek portfolio credit loss model X. Huang, C.W. Oosterlee (Kees) and J. van der Weide

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