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Evaluation of credit risk of a portfolio with stochastic interest rate and default processes
2000
Journal of Risk
and risk of the portfolio in a synthetic manner. It is shown that value at risk (VaR) of the portfolio is approximately evaluated as a closed form solution.
doi:10.21314/jor.2000.037
fatcat:kn4pzlwpafd2dokjuqwxrxf6ly