Fluctuation analysis for the loss from default

DOI10.1016/j.spa.2014.02.010zbMath1333.60035arXiv1304.1420OpenAlexW3122456883MaRDI QIDQ402480

Kay Giesecke, Justin A. Sirignano, Konstantinos V. Spiliopoulos

Publication date: 28 August 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.1420

zbMATH Keywords

central limit theoremfluctuation analysisinteracting particle systemportfolio credit risk

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80) Portfolio theory (91G10) Credit risk (91G40)

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Cites Work

• The law of large numbers for self-exciting correlated defaults
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• Stability in a Model of Interbank Lending
• Stochastic partial differential equations with unbounded coefficients and applications i
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• A Sobolev Space Theory of SPDE with Constant Coefficients on a Half Line
• Exact Sampling of Jump Diffusions
• Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations
• LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
• Stochastic Evolution Equations in Portfolio Credit Modelling
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