VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights
| Year of publication: |
2002
|
|---|---|
| Authors: | Frey, Rudiger ; McNeil, Alexander J. |
| Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 26.2002, 7, p. 1317-1334
|
| Publisher: |
Elsevier |