Asymptotics for credit portfolio losses due to defaults in a multi-sector model

DOI10.1007/s10479-024-05934-5zbMath1545.91315MaRDI QIDQ6573348

Zhimin Zhang, Shaoying Chen, Yang Yang

Publication date: 16 July 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

multivariate regular variationmulti-sector modelsharp asymptoticsmacroeconomic factorscredit portfolio loss due to defaults

Mathematics Subject Classification ID

Multisectoral models in economics (91B66) Credit risk (91G40)

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