Credit risk in the traditional banking book : a VaR approach under correlated default

Authors
Zazzara, Cristiano
Citation
Cristiano Zazzara, Credit risk in the traditional banking book : a VaR approach under correlated default, Economia, società e istituzioni, 12(3), 2000, pp. 331-361
Journal title
Economia, società e istituzioni
ISSN journal
15939456 → ACNP
Volume
12
Issue
3
Year of publication
2000
Pages
331 - 361
Database
ESSPER
SICI code
1593-9456(2000)12:3<331:CRITTB>2.0.ZU;2-T