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:	Proceedings of the Winter Simulation Conference, 2005 p. 10 pp.
Main Authors:	Bassamboo, A., Juneja, S., Zeevi, A.
Format:	Conference Proceeding
Language:	English
Published:	IEEE 2005
Subjects:	Computer science Context modeling Fasteners Instruments Loss measurement Monte Carlo methods Portfolios Random variables Risk management Time measurement
ISBN:	0780395190, 9780780395190
ISSN:	0891-7736
Online Access:	Get full text
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