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]
@inproceedings{BassambooJZ05a,
title = {Expected shortfall in credit portfolios with extremal dependence},
author = {Achal Bassamboo and Sandeep Juneja and Assaf J. Zeevi},
year = {2005},
doi = {10.1145/1162708.1163030},
url = {http://doi.acm.org/10.1145/1162708.1163030},
researchr = {https://researchr.org/publication/BassambooJZ05a},
cites = {0},
citedby = {0},
pages = {1849-1858},
booktitle = {Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005},
publisher = {ACM},
isbn = {0-7803-9519-0},
}