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A Factor Model for the Calculation of Portfolio Credit VaR

Ping Li, Xiaoxu Wang, Haibo Wang. A Factor Model for the Calculation of Portfolio Credit VaR. In Yong Shi, Youmin Xi, Peter Wolcott, Yingjie Tian, Jianping Li, Daniel Berg, Zhengxin Chen, Enrique Herrera-Viedma, Gang Kou, Heeseok Lee, Yi Peng, Lean Yu, editors, Proceedings of the First International Conference on Information Technology and Quantitative Management, ITQM 2013, Dushu Lake Hotel, Sushou, China, 16-18 May, 2013. Volume 17 of Procedia Computer Science, pages 611-618, Elsevier, 2013. [doi]

Authors

Ping Li

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Xiaoxu Wang

This author has not been identified. Look up 'Xiaoxu Wang' in Google

Haibo Wang

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