Large portfolio losses
type: Item
instance of: scholarly article
title: Large portfolio losses
zbMATH Open document ID: 1051.60030
author: Amir Dembo
author: Jean-Dominique Deuschel
author: Darrell Duffie
published in: Finance and Stochastics
publication date: 2004-11-24T00:00:00Z
review text: The authors provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. A key assumption is that, conditional on a common ``correlating'' factor \(Y\), position losses are independent. The results include explicit calculations, conditional on a large portfolio loss, of the probability of loss for each position, and the distribution of the size of the position loss. The authors receive conditions under which a large-deviation estimate of the likelihood of a failure-threatening loss during some sub-interval of time during given planning horizon can be calculated from the likelihood of the same size loss in a certain fixed ``key time horizon''.
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 2118686
zbMATH Keywords: large deviations
zbMATH Keywords: insurance
zbMATH Keywords: risk measure
zbMATH Keywords: portfolio loss
reviewed by: Yuliya S. Mishura
MaRDI profile type: Publication
full work available at URL: s00780-003-0107-2
OpenAlex ID: W4243316492
DOI: 10.1007/S00780-003-0107-2
description: scientific article; zbMATH DE number 2118686