Expected shortfall in credit portfolios with extremal dependence

Full Text: PDFPDF Buy this ArticleBuy this Article
Authors: Achal Bassamboo Northwestern University, Evanston, IL
Sandeep Juneja Tata Institute of Fundamental Research, Mumbai, India
Assaf Zeevi Columbia University, New York, NY
Published in:
Cover Image
 
· Proceeding
WSC '05 Proceedings of the 37th conference on Winter simulation
Pages 1849-1858
Winter Simulation Conference ©2005
table of contents ISBN:0-7803-9519-0
Expected shortfall in credit portfolios with extremal dependence 2005 Article
Bibliometrics Data  Bibliometrics
· Downloads (6 Weeks): 0
· Downloads (12 Months): 7
· Downloads (cumulative): 188
· Citation Count: 1


Tools and Resources

Share:

|
feedback Feedback | Switch to single page view (no tabs)

Powered by The ACM Guide to Computing Literature


The ACM Digital Library is published by the Association for Computing Machinery. Copyright © 2013 ACM, Inc.
Terms of Usage   Privacy Policy   Code of Ethics   Contact Us

Useful downloads: Adobe Acrobat    QuickTime    Windows Media Player    Real Player
The ACM Guide to Computing Literature
All Tags
Export Formats
 
 
Save to Binder