LLN-type approximations for large portfolio losses

DOI10.1016/j.insmatheco.2018.05.003zbMath1416.91206OpenAlexW2809065653WikidataQ129678590 ScholiaQ129678590MaRDI QIDQ1667412

Peng Zhang

Publication date: 28 August 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.05.003

zbMATH Keywords

defaultlaw of large numbersinversesystematic riskportfolio lossloss given default

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
• A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
• A generic framework for stochastic loss-given-default
• Valuing risky debt: a new model combining structural information with the reduced-form approach
• The loss given default of a low-default portfolio with weak contagion
• On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
• A limit distribution of credit portfolio losses with low default probabilities
• An asymptotic characterization of hidden tail credit risk with actuarial applications
• Max-factor individual risk models with application to credit portfolios
• Risk reducers in convex order
• On Interchanging Limits and Integrals
• Risk Measures and Comonotonicity: A Review
• The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
• Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation