Default clustering in large portfolios: typical events (Q1948691)

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Default clustering in large portfolios: typical events
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    title
    Default clustering in large portfolios: typical events (English)
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    DOI
    10.1214/12-AAP845
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    author
    Kay Giesecke
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    Richard B. Sowers
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    publication date
    24 April 2013
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    Mathematics Subject Classification ID
    91G40
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    60H10
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    60G55
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    60G57
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    91G10
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    zbMATH DE Number
    6157191
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    zbMATH Keywords
    interacting point processes
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    law of large numbers
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    portfolio credit risk
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    contagion
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    arXiv ID
    1104.1773
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