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"Expected shortfall in credit portfolios with extremal dependence."

Achal Bassamboo, Sandeep Juneja, Assaf Zeevi (2005)

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DOI: 10.1109/WSC.2005.1574461

access: closed

type: Conference or Workshop Paper

metadata version: 2024-05-07

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  - conf/wsc/BassambooJZ05a
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  - https://dblp.org/rec/conf/wsc/BassambooJZ05a
Achal Bassamboo, Sandeep Juneja, Assaf Zeevi:
Expected shortfall in credit portfolios with extremal dependence. WSC 2005: 1849-1858

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