Default Clustering in Large Pools: Large Deviations

DOI10.1137/130944060zbMath1397.60063arXiv1311.0498OpenAlexW3121784097MaRDI QIDQ5250039

Richard B. Sowers, Konstantinos V. Spiliopoulos

Publication date: 15 May 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.0498

zbMATH Keywords

rare eventslarge deviationsdefault clusteringheterogeneous networkslarge pools

Mathematics Subject Classification ID

Large deviations (60F10) Financial applications of other theories (91G80) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Credit risk (91G40)

Related Items (10)

Moderate deviation principles for weakly interacting particle systems ⋮ Affine Point Processes: Approximation and Efficient Simulation ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ On the effect of heterogeneity on flocking behavior and systemic risk ⋮ Network Effects in Default Clustering for Large Systems ⋮ Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models ⋮ Credit Risk Propagation in Structural-Form Models ⋮ An SPDE model for systemic risk with endogenous contagion ⋮ Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator ⋮ Fast mean-reversion asymptotics for large portfolios of stochastic volatility models

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