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
ISBN (Print)92-9197-638-5
Publication statusPublished - 1 Jan 2002

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