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
18
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