Asymptotics for credit portfolio losses due to defaults in a multi-sector model
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Publication:6573348
DOI10.1007/S10479-024-05934-5zbMATH Open1545.91315MaRDI QIDQ6573348FDOQ6573348
Zhimin Zhang, Shaoying Chen, Yang Yang
Publication date: 16 July 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
multivariate regular variationmulti-sector modelsharp asymptoticsmacroeconomic factorscredit portfolio loss due to defaults
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