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 proceedingConference contributionAcademic

Original languageEnglish
Title of host publicationRisk Measurement and systemic risk
Place of PublicationBasel
PublisherBank of International Settlemetns
Number of pages13
Publication statusPublished - 2002
EventThird Joint Central Bank Research Conference - Basel
Duration: 1 Jan 20021 Jan 2002


ConferenceThird Joint Central Bank Research Conference

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