Value at Risk Comparison of the CreditRisk+ and the 2-Stage CreditRisk+ Models for a Special Class of Credit Portfolios.

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Title: Value at Risk Comparison of the CreditRisk+ and the 2-Stage CreditRisk+ Models for a Special Class of Credit Portfolios.
Author: Deshpande, Amogh
Advisors: Min Kang, Committee Chair
Tao Pang, Committee Member
Julie Ivy, Committee Member
Date: 2010-03-26
Degree: Master of Science
Discipline: Operations Research
URI: http://www.lib.ncsu.edu/resolver/1840.16/5994


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