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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Veröffentlicht in:	2005 Winter Simulation S. 1849 - 1858
Hauptverfasser:	Bassamboo, Achal, Juneja, Sandeep, Zeevi, Assaf
Format:	Tagungsbericht
Sprache:	Englisch
Veröffentlicht:	Winter Simulation Conference 04.12.2005
Schriftenreihe:	ACM Conferences
Schlagworte:	Mathematics of computing Mathematics of computing > Probability and statistics
ISBN:	0780395190, 9780780395190
Online-Zugang:	Volltext
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