Sharp asymptotics for large portfolio losses under extreme risks

DOI10.1016/j.ejor.2019.01.025zbMath1431.91370OpenAlexW2910620545WikidataQ128580541 ScholiaQ128580541MaRDI QIDQ666988

Zhaofeng Tang, Yang Yang, Qi-he Tang

Publication date: 12 March 2019

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.01.025

zbMATH Keywords

defaultsystematic riskcommon shockportfolio losssharp asymptotics

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (9)

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Uses Software

• QRM

Cites Work

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