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    ANOR
    2007
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    A semi-analytical method for VaR and credit exposure analysis
    13 years 11 months ago
    A semi-analytical method for VaR and credit exposure analysis
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    In this paper, we discuss new analytical methods for computing Value-at-Risk (VaR)andacreditexposureprofile.UsingaMonteCarlosimulationapproachasabenchmark, we find that the analy...
    Ben De Prisco, Ian Iscoe, Alexander Y. Kreinin, Ah...
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