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
Gespeichert in:
| Autor*in: |
Tang, Qihe [verfasserIn] |
|---|
| Format: |
E-Artikel |
|---|---|
| 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.] |
|---|---|
| Übergeordnetes Werk: |
volume:292 ; year:2021 ; number:2 ; day:16 ; month:07 ; pages:755-769 ; extent:15 |
| Links: |
|---|
| DOI / URN: |
10.1016/j.ejor.2020.10.043 |
|---|
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ELV053307607 |
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