Computation of VaR and VaR Contribution in the Vasicek portfolio credit loss model: A comparative study

Title

Computation of VaR and VaR Contribution in the Vasicek portfolio credit loss model: A comparative study

Author

Huang, X.
Oosterlee, C.W.
Mesters, M.A.M.

Faculty

Electrical Engineering, Mathematics and Computer Science

Date

2007

To reference this document use:

http://resolver.tudelft.nl/uuid:9dcffae2-acaa-4584-953c-0d0d8a01c6fa

Publisher

Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Delft Institute of Applied Mathematics

ISSN

1389-6520

Source

Reports of the Department of Applied Mathematical Analysis, 07-06

Part of collection

Institutional Repository

Document type

report

Rights

(c) 2007 X. Huang; C.W. Oosterlee; M.A.M Mesters