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    Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
    13 years 4 months ago
    Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
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    We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
    Achal Bassamboo, Sandeep Juneja, Assaf J. Zeevi
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