Expected shortfall in credit portfolios with extremal dependence

Achal Bassamboo, Sandeep Juneja, Assaf J. Zeevi. Expected shortfall in credit portfolios with extremal dependence. In Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005. pages 1849-1858, ACM, 2005. [doi]

Authors

Achal Bassamboo

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Sandeep Juneja

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Assaf J. Zeevi

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