Default clustering in large portfolios: typical events

DOI10.1214/12-AAP845zbMath1262.91141arXiv1104.1773MaRDI QIDQ1948691

Kay Giesecke, Richard B. Sowers, Konstantinos V. Spiliopoulos

Publication date: 24 April 2013

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

Full work available at URL: https://arxiv.org/abs/1104.1773

zbMATH Keywords

law of large numbers; contagion; portfolio credit risk; interacting point processes

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G57: Random measures

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

91G10: Portfolio theory

91G40: Credit risk