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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]
Possibly Related PublicationsThe following publications are possibly variants of this publication: Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient SimulationAchal Bassamboo, Sandeep Juneja, Assaf J. Zeevi. ior, 56(3):593-606, 2008. [doi]
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