The loss given default of a low-default portfolio with weak contagion

DOI10.1016/j.insmatheco.2015.10.005zbMath1348.91187OpenAlexW2175270633MaRDI QIDQ903339

Zhongyi Yuan, Li Wei

Publication date: 5 January 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.005

zbMATH Keywords

asymptotic analysisrisk measuredefault probabilitySarmanov distributionloss given defaultcredit contagionasymptotic (in)dependencelow-default portfolio

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)

Related Items

Confidence sets and confidence bands for a beta distribution with applications to credit risk management ⋮ LLN-type approximations for large portfolio losses ⋮ A limit distribution of credit portfolio losses with low default probabilities ⋮ Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models ⋮ An asymptotic characterization of hidden tail credit risk with actuarial applications ⋮ A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches

Uses Software

• QRM

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