A limit distribution of credit portfolio losses with low default probabilities

DOI10.1016/j.insmatheco.2017.02.003zbMath1416.91393OpenAlexW2586931296MaRDI QIDQ1681199

Xiaojun Shi, Zhongyi Yuan, Qi-he Tang

Publication date: 23 November 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.02.003

zbMATH Keywords

model risklimit distributiontail dependencemultivariate regular variationextreme riskloss given defaultcredit portfolio loss

Mathematics Subject Classification ID

Related Items (6)

LLN-type approximations for large portfolio losses ⋮ Asymptotic behavior of ruin probabilities in a multidimensional risk model with investment and multivariate regularly varying claims ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ Interplay of insurance and financial risks in a stochastic environment ⋮ Sharp asymptotics for large portfolio losses under extreme risks

Uses Software

• copula
• QRM
• copula

Cites Work

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