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

DOI10.1007/S10479-024-05934-5zbMATH Open1545.91315MaRDI QIDQ6573348FDOQ6573348

Authors: Shaoying Chen, Yang Yang, Zhimin Zhang 

Publication date: 16 July 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

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zbMATH Keywords

multivariate regular variationmulti-sector modelsharp asymptoticsmacroeconomic factorscredit portfolio loss due to defaults

Mathematics Subject Classification ID

Credit risk (91G40) Multisectoral models in economics (91B66)

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