Asymptotics for credit portfolio losses due to defaults in a multi-sector model

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Cites work

scientific article; zbMATH DE number 4030574 (Why is no real title available?)
scientific article; zbMATH DE number 4000257 (Why is no real title available?)
A limit distribution of credit portfolio losses with low default probabilities
Asymptotic analysis of the loss given default in the presence of multivariate regular variation
Asymptotics for risk capital allocations based on conditional tail expectation
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Dependence structure of risk factors and diversification effects
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Heavy-Tail Phenomena
Inequalities: theory of majorization and its applications
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On sums of conditionally independent subexponential random variables
On the Tail Behavior of Sums of Dependent Risks
On the observation closest to the origin
Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
Remarks on quantiles and distortion risk measures
Risk in a large claims insurance market with bipartite graph structure
Risk-adjusted bowley reinsurance under distorted probabilities
Sensitivity analysis of nonlinear behavior with distorted probability
Sharp asymptotics for large portfolio losses under extreme risks
Simulating from Exchangeable Archimedean Copulas
Tail distortion risk and its asymptotic analysis
Tail distortion risk measure for portfolio with multivariate regularly variation
Testing the Multivariate Regular Variation Model
The Dual Theory of Choice under Risk
The loss given default of a low-default portfolio with weak contagion
The sample autocorrelations of heavy-tailed processes with applications to ARCH

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