Portfolio default losses driven by idiosyncratic risks-Reference-Cited by-同舟云学术

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Portfolio default losses driven by idiosyncratic risks

Published:2024-08 Issue: Volume: Page:
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Chen Shaoying,Tong Zhiwei^ORCID,Yang Yang

Publisher

Elsevier BV

Reference37 articles.

1. The network origins of aggregate fluctuations;Acemoglu;Econometrica,2012

2. Systemic sovereign credit risk: Lessons from the U.S. and Europe;Ang;Journal of Monetary Economics,2013

3. Exploring the sources of default clustering;Azizpour;Journal of Financial Economics,2018

4. Systematic default and return predictability in the stock and bond markets;Bao;Journal of Financial Economics,2023

5. Portfolio credit risk with extremal dependence: Asymptotic analysis and efficient simulation;Bassamboo;Operations Research,2008

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