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"Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and ..."

Achal Bassamboo, Sandeep Juneja, Assaf Zeevi (2008)

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DOI: 10.1287/OPRE.1080.0513

access: closed

type: Journal Article

metadata version: 2022-04-29

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Achal Bassamboo, Sandeep Juneja, Assaf Zeevi:
Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation. Oper. Res. 56(3): 593-606 (2008)

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