Large portfolio losses in a turbulent market

DOI10.1016/j.ejor.2020.10.043zbMath1487.91151OpenAlexW3095402923MaRDI QIDQ2030632

Yang Yang, Zhiwei Tong, Qi-he Tang

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.10.043

zbMATH Keywords

systematic riskOR in bankingmarket betacontinuous ocone martingalecredit quality process

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

Related Items (2)

Portfolio risk analysis of excess of loss reinsurance ⋮ A transitivity property of Ocone martingales

Uses Software

• QRM

Cites Work

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