Model-free computation of risk contributions in credit portfolios
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DOI: 10.1016/j.amc.2020.125351
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References listed on IDEAS
- Marek Rutkowski & Silvio Tarca, 2015. "Regulatory Capital Modeling For Credit Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-44.
- Alexander J. McNeil & Rüdiger Frey & Paul Embrechts, 2015. "Quantitative Risk Management: Concepts, Techniques and Tools Revised edition," Economics Books, Princeton University Press, edition 2, number 10496.
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- Guangwu Liu, 2015. "Simulating Risk Contributions of Credit Portfolios," Operations Research, INFORMS, vol. 63(1), pages 104-121, February.
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Cited by:
- Ahmed, Dilan & Soleymani, Fazlollah & Ullah, Malik Zaka & Hasan, Hataw, 2021. "Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution," Applied Mathematics and Computation, Elsevier, vol. 402(C).
- Kirkby, J. Lars & Leitao, Álvaro & Nguyen, Duy, 2021. "Nonparametric density estimation and bandwidth selection with B-spline bases: A novel Galerkin method," Computational Statistics & Data Analysis, Elsevier, vol. 159(C).
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Keywords
Credit risk; Value-at-risk; Expected shortfall; Portfolio risk contributions; Shannon wavelets; Non-parametric density estimation;All these keywords.
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