Sharp asymptotics for large portfolio losses under extreme risks
type: Item
instance of: scholarly article
title: Sharp asymptotics for large portfolio losses under extreme risks
zbMATH Open document ID: 1431.91370
author: Zhaofeng Tang
author: Yang Yang
author: Qihe Tang
published in: European Journal of Operational Research
publication date: 2019-03-12T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G45
zbMATH DE Number: 7034956
zbMATH Keywords: portfolio loss
zbMATH Keywords: default
zbMATH Keywords: sharp asymptotics
zbMATH Keywords: common shock
zbMATH Keywords: systematic risk
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: j.ejor.2019.01.025
OpenAlex ID: W2910620545
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Wikidata QID: Q128580541
DOI: 10.1016/J.EJOR.2019.01.025
description: scientific article; zbMATH DE number 7034956