Work

How Robust is the Value-at-Risk of Credit Risk Portfolios?

Year: 2015

Type: article

Source: European Journal of Finance

DOI: 10.1080/1351847x.2015.1104370

Authors: Carole Bernard, Ludger Rüschendorf, Steven Vanduffel, Jing Yao

Institutions: Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3122567404

FWCI: 8.286

Cites: 45

Cited by: 47

Related to: 10