"A Factor Model for the Calculation of Portfolio Credit VaR."

Ping Li, Xiaoxu Wang, Haibo Wang (2013)

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DOI: 10.1016/J.PROCS.2013.05.079

access: closed

type: Conference or Workshop Paper

metadata version: 2023-10-11

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  - conf/itqm/LiWW13
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Ping Li, Xiaoxu Wang, Haibo Wang:
A Factor Model for the Calculation of Portfolio Credit VaR. ITQM 2013: 611-618

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