مرکز منطقه ای اطلاع رساني علوم و فناوري - VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

Title of article :

VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

Author/Authors :

Rüdiger Frey، نويسنده , , Alexander J. McNeil، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2002

Pages :

From page :

1317

To page :

1334

Keywords :

Risk measures , Value-at-Risk , Coherence , Portfolio credit risk models , Expected shortfall , Bernoulli mixture models

Journal title :

Journal of Banking and Finance

Serial Year :

2002

Journal title :

Journal of Banking and Finance

Record number :

193393

Link To Document :