Computation of risk contribution in the Vasicek portfolio credit loss model

2008

Presented at the International Conference on Industrial and Applied Mathematics , Zürich, Switzerland

Additional Metadata
Keywords	VaR, saddlepoint approximation
THEME	Life Sciences (theme 5), Energy (theme 4)
Publisher	Wiley
Journal	PAMM: Proceedings in Applied Mathematics and Mechanics
Project	Accurate pricing and calibration of models with stochastic volatility
Conference	International Conference on Industrial and Applied Mathematics
Organisation	Scientific Computing
Citation APA APA Style APA-ALL Style AAA 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, K. (2008). Computation of risk contribution in the Vasicek portfolio credit loss model. PAMM: Proceedings in Applied Mathematics and Mechanics, 7(1), 1024003–1024004.

Publication