Implied Severity Density Estimation: An Extended Semiparametric Method to Compute Credit Value at Risk

  1. Baixauli, J.S.
  2. Alvarez, S.
Journal:
Computational Economics

ISSN: 0927-7099,  1572-9974

Year of publication: 2012

Volume: 40

Issue: 2

Pages: 115-129

Type: Article

DOI: 10.1007/S10614-011-9290-Y GOOGLE SCHOLAR
Data source: Scopus