"Quantifying credit portfolio losses under multi-factor models."

Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee (2019)

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DOI: 10.1080/00207160.2018.1447666

access: closed

type: Journal Article

metadata version: 2020-06-15

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Gemma Colldeforns-Papiol, Luis Ortiz-Gracia, Cornelis W. Oosterlee:
Quantifying credit portfolio losses under multi-factor models. Int. J. Comput. Math. 96(11): 2135-2156 (2019)

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