"Efficient computation of Value-at-Risk and Expected Shortfall in large and ..."

Noureddine Lehdili, Arshia Givi (2018)

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DOI: 10.3233/RDA-180042

access: closed

type: Journal Article

metadata version: 2020-09-01

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Noureddine Lehdili, Arshia Givi:
Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge. Risk Decis. Anal. 7(3-4): 91-105 (2018)

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