Extreme Tails for Linear Portfolio Credit Risk Models

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

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

Original language	English
Title of host publication	Risk Measurement and systemic risk
Place of Publication	Basel
Publisher	Bank of International Settlemetns
Pages	271-283
Number of pages	13
Publication status	Published - 2002
Event	Third Joint Central Bank Research Conference - Basel Duration: 1 Jan 2002 → 1 Jan 2002

Conference	Third Joint Central Bank Research Conference
Period	1/01/02 → 1/01/02

Handle.net

@inproceedings{60e0b1a29767479a93aa3cb33f1e0572,

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

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

year = "2002",

language = "English",

pages = "271--283",

booktitle = "Risk Measurement and systemic risk",

publisher = "Bank of International Settlemetns",

note = "Third Joint Central Bank Research Conference ; Conference date: 01-01-2002 Through 01-01-2002",

}

TY - GEN

T1 - Extreme Tails for Linear Portfolio Credit Risk Models

AU - Lucas, A.

AU - Klaassen, P.

AU - Spreij, P.J.C.

AU - Straetmans, S.T.M.

PY - 2002

Y1 - 2002

M3 - Conference contribution

SP - 271

EP - 283

BT - Risk Measurement and systemic risk

PB - Bank of International Settlemetns

CY - Basel

T2 - Third Joint Central Bank Research Conference

Y2 - 1 January 2002 through 1 January 2002

ER -