Large portfolio losses in a turbulent market
• Describe each credit quality process by a stochastic differential equation. • Use market betas to measure individual loadings on the systematic risk. • Obtain approximations to the portfolio loss driven by the systematic risk. • Implement intensive numerical studies and conduct some sensitivity an...
Ausführliche Beschreibung
Autor*in: |
Tang, Qihe [verfasserIn] |
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Format: |
E-Artikel |
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Sprache: |
Englisch |
Erschienen: |
2021 |
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Umfang: |
15 |
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Übergeordnetes Werk: |
Enthalten in: Valorization of fatty acid waste for bioplastics production using Bacillus tequilensis: Integration with dark-fermentative hydrogen production process - Venkateswar Reddy, M. ELSEVIER, 2014transfer abstract, EJOR, Amsterdam [u.a.] |
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Übergeordnetes Werk: |
volume:292 ; year:2021 ; number:2 ; day:16 ; month:07 ; pages:755-769 ; extent:15 |
Links: |
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DOI / URN: |
10.1016/j.ejor.2020.10.043 |
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ELV053307607 |
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• Describe each credit quality process by a stochastic differential equation. • Use market betas to measure individual loadings on the systematic risk. • Obtain approximations to the portfolio loss driven by the systematic risk. • Implement intensive numerical studies and conduct some sensitivity analysis. |
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