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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Vydané v:	2005 Winter Simulation s. 1849 - 1858
Hlavní autori:	Bassamboo, Achal, Juneja, Sandeep, Zeevi, Assaf
Médium:	Konferenčný príspevok..
Jazyk:	English
Vydavateľské údaje:	Winter Simulation Conference 04.12.2005
Edícia:	ACM Conferences
Predmet:	Mathematics of computing Mathematics of computing > Probability and statistics
ISBN:	0780395190, 9780780395190
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