Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
| Year of publication: |
2008
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|---|---|
| Authors: | Bassamboo, Achal ; Juneja, Sandeep ; Zeevi, Assaf |
| Published in: |
Operations research : the journal of the Operations Research Society of America. - Linthicum, Md : INFORMS, ISSN 0030-364X, ZDB-ID 1233890. - Vol. 56.2008, 3, p. 593-606
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