LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (Q5175224)

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scientific article; zbMATH DE number 6406602
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English
LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
scientific article; zbMATH DE number 6406602

    Statements

    title
    LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (English)
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    author
    Kay Giesecke
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    Richard B. Sowers
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    Justin A. Sirignano
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    publication date
    20 February 2015
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    zbMATH Keywords
    law of large numbers
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    interacting point process
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    credit risk
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    cites work
    Large portfolio losses
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    Identifiers

    DOI
    10.1111/mafi.12011
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    Mathematics Subject Classification ID
    91G40
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    91G10
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    60F99
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    60H15
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    91G60
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    zbMATH DE Number
    6406602
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    OpenAlex ID
    W3124954191
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    arXiv ID
    1109.1272
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