The law of large numbers for self-exciting correlated defaults
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Publication:436290
DOI10.1016/J.SPA.2012.04.003zbMATH Open1246.91143OpenAlexW2100493354MaRDI QIDQ436290FDOQ436290
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
Recommendations
Credit risk (91G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)
Cites Work
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- Large portfolio losses
- Large portfolio losses: A dynamic contagion model
- Credit contagion and aggregate losses
- An explicit model of default time with given survival probability
- Dynamic hedging of synthetic CDO tranches with spread risk and default contagion
Cited In (21)
- An SPDE model for systemic risk with endogenous contagion
- Weakly interacting particle systems on inhomogeneous random graphs
- Fluctuation analysis for the loss from default
- Systemic risk and default clustering for large financial systems
- \(N\)-player games and mean-field games with absorption
- Default and systemic risk in equilibrium
- Some fluctuation results for weakly interacting multi-type particle systems
- Credit risk and contagion via self-exciting default intensity
- Large portfolio asymptotics for loss from default
- Network Effects in Default Clustering for Large Systems
- The density evolution of the killed McKean–Vlasov process
- Graphical models for correlated defaults
- Default clustering in large portfolios: typical events
- Large deviations for Brownian particle systems with killing
- Bilateral credit valuation adjustment for large credit derivatives portfolios
- Closed-form likelihood estimation for one type of affine point processes
- Sharp asymptotics for large portfolio losses under extreme risks
- Dynamic contagion in a banking system with births and defaults
- Fast mean-reversion asymptotics for large portfolios of stochastic volatility models
- Optimal Dividend Strategies with Reinsurance under Contagious Systemic Risk
- Affine point processes: approximation and efficient simulation
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