The law of large numbers for self-exciting correlated defaults

DOI10.1016/J.SPA.2012.04.003MaRDI QIDQ436290zbMATH OpenOpenAlexFDO

Authors Jakša Cvitanić, Jin Ma, Jianfeng Zhang

Publication date 20 July 2012

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

Full work available at URL https://doi.org/10.1016/j.spa.2012.04.003

zbMATH Keywords

law of large numberscredit riskcorrelated defaultsself-exciting

Mathematics Subject Classification ID

Credit risk (91G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A General Formula for Valuing Defaultable Securities
• An explicit model of default time with given survival probability
• CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
• Credit contagion and aggregate losses
• Credit risk: Modelling, valuation and hedging
• Default clustering in large portfolios: typical events
• Dynamic CDO term structure modeling
• Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
• Large portfolio losses
• Large portfolio losses: A dynamic contagion model
• Mathematical methods for financial markets.
• Random times with given survival probability and their \(\mathbb F\)-martingale decomposition formula

Cited in

(21)

• Sharp asymptotics for large portfolio losses under extreme risks
• Default clustering in large portfolios: typical events
• Some fluctuation results for weakly interacting multi-type particle systems
• Default and systemic risk in equilibrium
• Systemic risk and default clustering for large financial systems
• An SPDE model for systemic risk with endogenous contagion
• Weakly interacting particle systems on inhomogeneous random graphs
• Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
• Fluctuation analysis for the loss from default
• \(N\)-player games and mean-field games with absorption
• The density evolution of the killed McKean-Vlasov process
• Network effects in default clustering for large systems
• Graphical models for correlated defaults
• Large deviations for Brownian particle systems with killing
• Credit risk and contagion via self-exciting default intensity
• Affine point processes: approximation and efficient simulation
• Dynamic contagion in a banking system with births and defaults
• Bilateral credit valuation adjustment for large credit derivatives portfolios
• Optimal dividend strategies with reinsurance under contagious systemic risk
• Closed-form likelihood estimation for one type of affine point processes
• Large portfolio asymptotics for loss from default

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