Expected Shortfall Under a Model With Market and Credit Risks

DOI10.1007/0-387-71163-5_6MaRDI QIDQ5424406zbMATH OpenOpenAlexFDO

Authors Kin Bong Siu, Hailiang Yang

Publication date 5 November 2007

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/0-387-71163-5_6

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Credit risk (91G40)

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