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"Model-free computation of risk contributions in credit portfolios."

Álvaro Leitao, Luis Ortiz-Gracia (2020)

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DOI: 10.1016/J.AMC.2020.125351

access: closed

type: Journal Article

metadata version: 2020-09-05

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  - https://dblp.org/rec/journals/amc/LeitaoO20
Álvaro Leitao, Luis Ortiz-Gracia:
Model-free computation of risk contributions in credit portfolios. Appl. Math. Comput. 382: 125351 (2020)

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