A New Approach to Risk Attribution and Its Application in Credit Risk Analysis
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Cited by:
- Gero Junike & Hauke Stier & Marcus C. Christiansen, 2022. "Sequential decompositions at their limit," Papers 2212.06733, arXiv.org, revised Apr 2023.
- Solveig Flaig & Gero Junike, 2023. "Profit and loss attribution: An empirical study," Papers 2309.07667, arXiv.org, revised Dec 2023.
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Keywords
risk attribution; risk allocation; credit risk; Euler principle; risk factors;All these keywords.
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