Extreme Tails for Linear Portfolio Credit Risk Models

S.T.M. Straetmans, A. Lucas, P. Spreij, P. Klaassen

Research output: Chapter in Book/Report/Conference proceedingChapterAcademic

Original languageEnglish
Title of host publicationProceedings of the third Joint Central Bank Research Conf. on Risk Measurement and Systemic Risk
Place of PublicationBasle
PublisherBank for Intern. Settlements
Pages271-283
ISBN (Print)92-9197-638-5
Publication statusPublished - 1 Jan 2002

Cite this

Straetmans, S. T. M., Lucas, A., Spreij, P., & Klaassen, P. (2002). Extreme Tails for Linear Portfolio Credit Risk Models. In Proceedings of the third Joint Central Bank Research Conf. on Risk Measurement and Systemic Risk (pp. 271-283). Bank for Intern. Settlements.