The limits of granularity adjustments

Journal of Banking and Finance

Volumn 45, Issue 1, 2014, Pages 9-25

  Fermanian, Jean David ^a  

^a CREST   (France)

Author keywords

Credit portfolio model; Fourier Transform; Granularity adjustment; Value at risk

Indexed keywords

EID: 84901660604     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2014.04.023     Document Type: Article

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