Fluctuation analysis for the loss from default
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Publication:402480
DOI10.1016/j.spa.2014.02.010zbMath1333.60035arXiv1304.1420OpenAlexW3122456883MaRDI QIDQ402480
Kay Giesecke, Justin A. Sirignano, 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
Central limit and other weak theorems (60F05) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80) Portfolio theory (91G10) Credit risk (91G40)
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