LARGE PORTFOLIO CREDIT RISK MODELING

DOI10.1142/S0219024907004378zbMath1291.91221OpenAlexW2005456695MaRDI QIDQ5169983

Mark H. A. Davis, Juan Carlos Esparragoza-Rodriguez

Publication date: 17 July 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004378

zbMATH Keywords

functional central limit theoremstochastic networkquadraturesfunctional law of large numbers

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Credit risk (91G40)

Related Items (4)

Default clustering in large portfolios: typical events ⋮ Modelling default contagion using multivariate phase-type distributions ⋮ LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT ⋮ Limit theorems for individual-based models in economics and finance

Cites Work

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• Strong approximation theorems for density dependent Markov chains
• Strong approximation for Markovian service networks
• Stochastic-Process Limits
• Fluid and diffusion limits for queues in slowly changing environments
• Invariant Integration Formulas for the n-Simplex by Combinatorial Methods
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Multiple channel queues in heavy traffic. I
• Analysis of default data using hidden Markov models

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