Large portfolio losses: A dynamic contagion model

DOI10.1214/08-AAP544zbMath1159.60353arXiv0704.1348OpenAlexW2080834695MaRDI QIDQ1009490

Wolfgang J. Runggaldier, Paolo Dai Pra, Elena Sartori, Marco Tolotti

Publication date: 2 April 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.1348

zbMATH Keywords

phase transitionlarge deviationsinteracting particle systemsmean field interactioncredit crisiscredit contagionlarge portfolio lossesnonreversible Markov processes

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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Uses Software

• QRM

Cites Work

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