Default Clustering in Large Pools: Large Deviations (Q5250039): Difference between revisions

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-Konstantinos V. Spiliopoulos
@@ Property / author: Konstantinos V. Spiliopoulos / rank @@
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@@ Property / author @@
+Konstantinos V. Spiliopoulos
@@ Property / author: Konstantinos V. Spiliopoulos / rank @@
+Normal rank
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+MaRDI publication profile
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+W3121784097
@@ Property / OpenAlex ID: W3121784097 / rank @@
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@@ Property / arXiv ID @@
+.0498
@@ Property / arXiv ID: 1311.0498 / rank @@
+Normal rank
@@ Property / cites work @@
+On Large Deviations for Small Noise Itô Processes
+Normal rank
@@ Property / cites work @@
+Large portfolio losses: A dynamic contagion model
@@ Property / cites work: Large portfolio losses: A dynamic contagion model / rank @@
+Normal rank
@@ Property / cites work @@
+Heterogeneous credit portfolios and the dynamics of the aggregate losses
+Normal rank
@@ Property / cites work @@
+Large portfolio losses
@@ Property / cites work: Large portfolio losses / rank @@
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
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@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Q4388221
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+Q3681702
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+Q3721531
@@ Property / cites work: Q3721531 / rank @@
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+Random Perturbations of Dynamical Systems
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+Large Deviations for a Mean Field Model of Systemic Risk
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+On the McKean-Vlasov Limit for Interacting Diffusions
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+Importance Sampling for Portfolio Credit Risk
@@ Property / cites work: Importance Sampling for Portfolio Credit Risk / rank @@
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+LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
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+Default clustering in large portfolios: typical events
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+LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
@@ Property / cites work: LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT / rank @@
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+ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT
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+Fluctuation analysis for the loss from default
@@ Property / cites work: Fluctuation analysis for the loss from default / rank @@
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+Recovery rates in investment-grade pools of credit assets: a large deviations analysis
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+Asymptotic probabilities and differential equations
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+Affine Point Processes: Approximation and Efficient Simulation
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