The following pages link to Large portfolio losses (Q1887260):
Displayed 28 items.
- Saddlepoint approximations to option price in a regime-switching model (Q300691) (← links)
- Sample-path large deviations in credit risk (Q410789) (← links)
- The law of large numbers for self-exciting correlated defaults (Q436290) (← links)
- Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives (Q496948) (← links)
- Recovery rates in investment-grade pools of credit assets: a large deviations analysis (Q645601) (← links)
- Sharp asymptotics for large portfolio losses under extreme risks (Q666988) (← links)
- Particle systems with singular interaction through hitting times: application in systemic risk modeling (Q670735) (← links)
- Heterogeneous credit portfolios and the dynamics of the aggregate losses (Q841485) (← links)
- Large portfolio losses: A dynamic contagion model (Q1009490) (← links)
- How to measure single-name credit risk concentrations (Q1038404) (← links)
- Some asymptotic results for nonlinear Hawkes processes (Q1630661) (← links)
- Default clustering in large portfolios: typical events (Q1948691) (← links)
- Large portfolio losses in a turbulent market (Q2030632) (← links)
- Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
- A semi-analytical method for VaR and credit exposure analysis (Q2480235) (← links)
- Credit risk optimization using factor models (Q2480237) (← links)
- Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach (Q2513666) (← links)
- EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS (Q2929841) (← links)
- EXACT PRICING ASYMPTOTICS OF INVESTMENT-GRADE TRANCHES OF SYNTHETIC CDO'S: A LARGE HOMOGENEOUS POOL (Q3580215) (← links)
- Systemic Risk and Default Clustering for Large Financial Systems (Q4560344) (← links)
- Applying importance sampling for estimating coherent credit risk contributions (Q4610226) (← links)
- (Q5052120) (← links)
- Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model (Q5144186) (← links)
- LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT (Q5175224) (← links)
- Default Clustering in Large Pools: Large Deviations (Q5250039) (← links)
- Tools to Estimate the First Passage Time to a Convex Barrier (Q5312841) (← links)
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK (Q5427660) (← links)
- Simulation of Tempered Stable Lévy Bridges and Its Applications (Q5740225) (← links)