Expected shortfall in credit portfolios with extremal dependence

We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. We are interested in efficiently estimating expected excess loss conditioned on the event that the portfolio incurs large losses over a fixed time horizon; this risk measure...

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Bibliographic Details
Published in:	2005 Winter Simulation pp. 1849 - 1858
Main Authors:	Bassamboo, Achal, Juneja, Sandeep, Zeevi, Assaf
Format:	Conference Proceeding
Language:	English
Published:	Winter Simulation Conference 04.12.2005
Series:	ACM Conferences
Subjects:	Mathematics of computing Mathematics of computing > Probability and statistics
ISBN:	0780395190, 9780780395190
Online Access:	Get full text
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