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Sharp asymptotics for large portfolio losses under extreme risks
Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722
Persistent link: https://www.econbiz.de/10012003644
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Large portfolio losses in a turbulent market
Tang, Qihe; Tong, Zhiwei; Yang, Yang - In: European journal of operational research : EJOR 292 (2021) 2, pp. 755-769
Persistent link: https://www.econbiz.de/10012502397
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Portfolio default losses driven by idiosyncratic risks
Chen, Shaoying; Tong, Zhiwei; Yang, Yang - In: European journal of operational research : EJOR 320 (2025) 3, pp. 765-776
Persistent link: https://www.econbiz.de/10015085375