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Asymptotic analysis of the loss given default in the presence of multivariate regular variation
Tang, Qihe; Yuan, Zhongyi - In: North American actuarial journal 17 (2013) 3, pp. 253-271
Persistent link: https://www.econbiz.de/10011338512
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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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A limit distribution of credit portfolio losses with low default probabilities
Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167
Persistent link: https://www.econbiz.de/10011702063
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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