DOI10.1016/j.ejor.2020.10.043zbMath1487.91151MaRDI QIDQ2030632
Yang Yang, Qi-he Tang, Zhiwei Tong
Publication date: 7 June 2021 Published in: European Journal of Operational Research (Search for Journal in Brave) Full work available at URL: https://doi.org/10.1016/j.ejor.2020.10.043
zbMATH Keywords
systematic risk; OR in banking; market beta; continuous ocone martingale; credit quality process
Mathematics Subject Classification ID
91G10: Portfolio theory
91G40: Credit risk
Uses Software