Expected shortfall in credit portfolios with extremal dependence

Achal Bassamboo*, Sandeep Juneja, Assaf Zeevi

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Scopus citations

Fingerprint

Dive into the research topics of 'Expected shortfall in credit portfolios with extremal dependence'. Together they form a unique fingerprint.

Mathematics

Engineering & Materials Science