Extreme Tails for Linear Portfolio Credit Risk Models

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Academic

Original language	English
Title of host publication	Proceedings of the third Joint Central Bank Research Conf. on Risk Measurement and Systemic Risk
Place of Publication	Basle
Publisher	Bank for Intern. Settlements
Pages	271-283
ISBN (Print)	92-9197-638-5
Publication status	Published - 1 Jan 2002

Cite this

@inbook{0477823ed1b2466988b97ff7d4cc78f3,

title = "Extreme Tails for Linear Portfolio Credit Risk Models",

author = "S.T.M. Straetmans and A. Lucas and P. Spreij and P. Klaassen",

year = "2002",

month = jan,

day = "1",

language = "English",

isbn = "92-9197-638-5",

pages = "271--283",

booktitle = "Proceedings of the third Joint Central Bank Research Conf. on Risk Measurement and Systemic Risk",

publisher = "Bank for Intern. Settlements",

}

TY - CHAP

T1 - Extreme Tails for Linear Portfolio Credit Risk Models

AU - Straetmans, S.T.M.

AU - Lucas, A.

AU - Spreij, P.

AU - Klaassen, P.

PY - 2002/1/1

Y1 - 2002/1/1

M3 - Chapter

SN - 92-9197-638-5

SP - 271

EP - 283

BT - Proceedings of the third Joint Central Bank Research Conf. on Risk Measurement and Systemic Risk

PB - Bank for Intern. Settlements

CY - Basle

ER -