VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights
| Year of publication: |
2002
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|---|---|
| Authors: | Frey, Rüdiger ; Mcneil, Alexander J. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 7529053. - Vol. 26.2002, 7, p. 1317-1334
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