Fluctuation analysis for the loss from default

DOI10.1016/j.spa.2014.02.010zbMath1333.60035arXiv1304.1420MaRDI QIDQ402480

Justin A. Sirignano, Kay Giesecke, Konstantinos V. Spiliopoulos

Publication date: 28 August 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.1420

zbMATH Keywords

central limit theorem; fluctuation analysis; interacting particle system; portfolio credit risk

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60K35: Interacting random processes; statistical mechanics type models; percolation theory

91G80: Financial applications of other theories

91G10: Portfolio theory

91G40: Credit risk