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Sharpening Shapley Allocation: from Basel 2.5 to FRTB

Fuente: arXiv

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Bibliographic Details
Main Authors:	Scaringi, Marco, Bianchetti, Marco
Format:	Preprint
Published:	2025
Subjects:	Risk Management Computational Finance 91B30 (primary), 91A12, 91G70, 62P05, 65C05 (secondary) G.3; I.2.11; J.4; J.1
Online Access:	Acceder al recurso
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