LLN-type approximations for large portfolio losses

DOI10.1016/J.INSMATHECO.2018.05.003MaRDI QIDQ1667412zbMATH OpenOpenAlexWikidataFDO

Authors Peng Zhang

Publication date 28 August 2018

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2018.05.003

zbMATH Keywords

inversedefaultlaw of large numberssystematic riskportfolio lossloss given default

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Large portfolio asymptotics for loss from default
• Sharp asymptotics for large portfolio losses under extreme risks
• Large portfolio losses
• Large portfolio losses in a turbulent market
• Law of large numbers and large deviations for dependent risks

Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
• A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models
• A generic framework for stochastic loss-given-default
• A limit distribution of credit portfolio losses with low default probabilities
• An asymptotic characterization of hidden tail credit risk with actuarial applications
• Asymptotic analysis of the loss given default in the presence of multivariate regular variation
• Max-factor individual risk models with application to credit portfolios
• On Interchanging Limits and Integrals
• On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
• Quantitative risk management. Concepts, techniques and tools
• Risk Measures and Comonotonicity: A Review
• Risk reducers in convex order
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
• The loss given default of a low-default portfolio with weak contagion
• Valuing risky debt: a new model combining structural information with the reduced-form approach

Cited in

(7)

• Asymptotics for credit portfolio losses due to defaults in a multi-sector model
• The law of large numbers for self-exciting correlated defaults
• Large portfolio asymptotics for loss from default
• Large portfolio losses in a turbulent market
• Stochastic projection for large individual losses
• Large portfolio losses
• Sharp asymptotics for large portfolio losses under extreme risks

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Uses Software

• QRM

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