首页> 外文OA文献 >Computation of VaR and VaR Contribution in the Vasicek portfolio credit loss model: a comparative study

【2h】

Computation of VaR and VaR Contribution in the Vasicek portfolio credit loss model: a comparative study

机译：Vasicek投资组合信用损失模型中VaR和VaR贡献的计算：一项比较研究

代理获取

本网站仅为用户提供外文OA文献查询和代理获取服务，本网站没有原文。下单后我们将采用程序或人工为您竭诚获取高质量的原文，但由于OA文献来源多样且变更频繁，仍可能出现获取不到、文献不完整或与标题不符等情况，如果获取不到我们将提供退款服务。请知悉。

页面导航

著录项
引文网络
相似文献
相关主题

著录项

作者
Xinzheng Huang; Cornelis W. Oosterlee; Mâcé Mesters;
展开▼
作者单位

展开▼
年度 2007
总页数
原文格式 PDF
正文语种
中图分类

相似文献

外文文献
中文文献
专利

1. Zero-coupon bond prices in the Vasicek and CIR models: Their computation as group-invariant solutions [J] . Sinkala W, Leach PGL, OHara JG Mathematical Methods in the Applied Sciences . 2008,第6期

机译：Vasicek和CIR模型中的零息债券价格：作为组不变解的计算
2. Model-free computation of risk contributions in credit portfolios [J] . Leitao Alvaro, Ortiz-Gracia Luis Applied mathematics and computation . 2020,第1期

机译：无模型计算信用投资组合中的风险贡献
3. A Comparative Study of Mean-Variance and Mean Gini Portfolio Selection Using VaR and CVaR [J] . Jamal Agouram, Ghizlane Lakhnati Journal of Financial Risk Management . 2015,第2期

机译：使用VaR和CVaR比较均值方差和均值基尼投资组合的比较研究
4. A Comparative Study Of Different Index Portfolio VaR Model Based On Normal Distribution And T Distribution [C] . ZHANG Ying Management in the post-crisis era: diverse world and diversified management. . 2010

机译：基于正态分布和T分布的不同指数资产组合VaR模型的比较研究
5. Computation of Loss Distribution Based on the Structural Model for Credit Portfolios [D] . Han, Meng 2018

机译：基于信贷组合结构模型的损失分配计算
6. G-computation propensity score-based methods and targeted maximum likelihood estimator for causal inference with different covariates sets: a comparative simulation study [O] . Arthur Chatton, Florent Le Borgne, Clémence Leyrat, -1

机译：G计算基于倾向得分的方法以及针对不同协变量集的因果推理的目标最大似然估计器：一项比较模拟研究
7. Avaliação da aplicabilidade de um modelo de credit scoring com varíaveis sistêmicas e não-sistêmicas em carteiras de crédito bancário rotativo de pessoas físicas An evaluation on the applicability of a credit scoring model, with systemic and non-systemic variables in revolving bank credit portfolio for individuals [O] . José Odálio dos Santos, Rubens Famá 2007

机译：评估具有系统性和非系统性变量的信用评分模型在个人循环银行信贷组合中的适用性。

Computation of VaR and VaR Contribution in the Vasicek portfolio credit loss model: a comparative study

著录项

引文网络

相似文献

相关主题

期刊订阅