LLN-type approximations for large portfolio losses
From MaRDI portal
Publication:1667412
DOI10.1016/j.insmatheco.2018.05.003zbMath1416.91206OpenAlexW2809065653WikidataQ129678590 ScholiaQ129678590MaRDI QIDQ1667412
Publication date: 28 August 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.05.003
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
- A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
- A generic framework for stochastic loss-given-default
- Valuing risky debt: a new model combining structural information with the reduced-form approach
- The loss given default of a low-default portfolio with weak contagion
- On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
- A limit distribution of credit portfolio losses with low default probabilities
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Max-factor individual risk models with application to credit portfolios
- Risk reducers in convex order
- On Interchanging Limits and Integrals
- Risk Measures and Comonotonicity: A Review
- The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
- Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation
This page was built for publication: LLN-type approximations for large portfolio losses