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Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge.
Noureddine Lehdili
Arshia Givi
Published in:
Risk Decis. Anal. (2018)
Keyphrases
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efficient computation
risk analysis
credit risk
portfolio optimization
risk factors
risk management
risk evaluation
risk assessment
risk neutral
data sets
portfolio selection
search engine
similarity measure
dimensionality reduction
investment decisions
risk averse