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VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights

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Frey, Rudiger
McNeil, Alexander J.
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File URL: http://www.sciencedirect.com/science/article/B6VCY-45SRGK4-1/2/1fb180fa9a8267585cbcc5d8fdb0df23
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 26 (2002)
Issue (Month): 7 (July)
Pages: 1317-1334
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Handle: RePEc:eee:jbfina:v:26:y:2002:i:7:p:1317-1334

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  1. Piergiorgio Alessandri & Mathias Drehmann, 2009. "An economic capital model integrating credit and interest rate risk in the banking book," Working Paper Series 1041, European Central Bank. [Downloadable!]
  2. H. Zheng, 2006. "Efficient hybrid methods for portfolio credit derivatives," Quantitative Finance, Taylor and Francis Journals, vol. 6(4), pages 349-357, August. [Downloadable!] (restricted)
  3. S. Mori & K. Kitsukawa & M. Hisakado, 2006. "Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios," Quantitative Finance Papers physics/0603036, arXiv.org, revised Oct 2009. [Downloadable!]
  4. Maldonado, Diego & Pazmiño , Mariela, 2008. "Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana
    [New Management Tool for Credit Risk analysis: An aplication for Financial Instituti
    ," MPRA Paper 17163, University Library of Munich, Germany, revised 30 Dec 2008. [Downloadable!]
  5. Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Dirk Tasche, 2005. "Measuring sectoral diversification in an asymptotic multi-factor framework," Quantitative Finance Papers physics/0505142, arXiv.org, revised Jul 2006. [Downloadable!]
  7. Paolo Dai Pra & Wolfgang J. Runggaldier & Elena Sartori & Marco Tolotti, 2007. "Large portfolio losses: A dynamic contagion model," Quantitative Finance Papers 0704.1348, arXiv.org, revised Mar 2009. [Downloadable!]
  8. Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany. [Downloadable!]
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