Expected shortfall in credit portfolios with extremal dependence

Proceedings - Winter Simulation Conference

Volumn 2005, Issue , 2005, Pages 1849-1858

  Bassamboo, Achal ^a   Juneja, Sandeep ^b   Zeevi, Assaf ^c  

^a NORTHWESTERN UNIVERSITY   (United States)

^b TATA INSTITUTE OF FUNDAMENTAL RESEARCH   (India)

^c Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; BOUNDARY VALUE PROBLEMS; RISK ASSESSMENT; RISK MANAGEMENT; SAMPLING;

FINANCIAL INSTRUMENTS; PORTFOLIO DEPENDENCE; SAMPLING ALGORITHMS; SHARP ASYMPTOTICS;

FINANCE;

EID: 33846695226     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2005.1574461     Document Type: Conference Paper

References (16)

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