"A semi-analytical method for VaR and credit exposure analysis."

Ben De Prisco et al. (2007)

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DOI: 10.1007/S10479-006-0123-7

access: closed

type: Journal Article

metadata version: 2020-08-13

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Ben De Prisco, Ian Iscoe, Alexander Y. Kreinin, Ahmed Nagi:
A semi-analytical method for VaR and credit exposure analysis. Ann. Oper. Res. 152(1): 23-47 (2007)

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