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- W139214548 abstract "The expected shortfall and volatility capital allocation schemes are analyzed from a formal mathematical perspective and in a simulation study. We argue that expected shortfall is the superior measure for the allocation of capital in credit portfolios. The simulation is based on a new importance sampling algorithm for Merton-type models, which greatly increases the precision of Monte-Carlo estimates." @default.
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- W139214548 date "2003-01-01" @default.
- W139214548 modified "2023-09-27" @default.
- W139214548 title "Sensible and Efficient Capital Allocation for Credit Portfolios" @default.
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