Large portfolio losses in a turbulent market
type: Item
instance of: scholarly article
title: Large portfolio losses in a turbulent market
zbMATH Open document ID: 1487.91151
author: Zhiwei Tong
author: Yang Yang
author: Qihe Tang
published in: European Journal of Operational Research
publication date: 2021-06-07T00:00:00Z
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7356098
zbMATH Keywords: OR in banking
zbMATH Keywords: credit quality process
zbMATH Keywords: systematic risk
zbMATH Keywords: market beta
zbMATH Keywords: continuous ocone martingale
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.ejor.2020.10.043
OpenAlex ID: W3095402923
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DOI: 10.1016/J.EJOR.2020.10.043
description: scientific article; zbMATH DE number 7356098