Computation of VaR and VaR contribution in the Vasicek portfolio credit loss model: a comparative study

X Huang, CW Oosterlee, MAM Mesters

Research output: Contribution to journalArticleProfessional

Original languageUndefined/Unknown
Pages (from-to)1-19
Number of pages19
JournalReports of the Department of Applied Mathematical Analysis
Issue number06
Publication statusPublished - 2007


  • Vakpubl., Overig wet. > 3 pag

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