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LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT

  • Published:2012-10-31 Issue:1 Volume:25 Page:77-114
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Giesecke Kay1,Spiliopoulos Konstantinos2,Sowers Richard B.3,Sirignano Justin A.1

Affiliation:

1. Stanford University

2. Boston University

3. University of Illinois at Urbana-Champaign

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference31 articles.

1. Moment Theory and Some Inverse Problems in Potential Theory and Heat Conduction

2. Azizpour , S. K. Giesecke G. Schwenkler 2010 Exploring the Sources of Default Clustering

3. Exact Simulation of Diffusions;Beskos;Ann. Appl. Probab.,2005

4. Stochastic Evolution Equations in Portfolio Credit Modelling;Bush;SIAM J. Finan. Math.,2011

5. Localization and Exact Simulation of Brownian Motion Driven Stochastic Differential Equations;Chen;Math. Operat. Res.,2013

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1. Asymptotics for credit portfolio losses due to defaults in a multi-sector model;Annals of Operations Research;2024-03-30

2. Mean field game of optimal relative investment with jump risk;Science China Mathematics;2024-03-15

3. Mean field games with absorption and common noise with a model of bank run;Stochastic Processes and their Applications;2023-10

4. Computation of VaR for portfolios in intensity models;Communications in Statistics - Theory and Methods;2023-07-25

5. Propagation of chaos and large deviations in mean-field models with jumps on block-structured networks;Advances in Applied Probability;2023-06-05
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