Systemic Risk and Default Clustering for Large Financial Systems
From MaRDI portal
Publication:4560344
DOI10.1007/978-3-319-11605-1_19zbMath1418.91489arXiv1402.5352OpenAlexW3124292366MaRDI QIDQ4560344
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.5352
Central limit and other weak theorems (60F05) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
Related Items
On the effect of heterogeneity on flocking behavior and systemic risk, Network Effects in Default Clustering for Large Systems, An SPDE model for systemic risk with endogenous contagion
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Fluctuation analysis for the loss from default
- The law of large numbers for self-exciting correlated defaults
- Bilateral credit valuation adjustment for large credit derivatives portfolios
- Recovery rates in investment-grade pools of credit assets: a large deviations analysis
- Heterogeneous credit portfolios and the dynamics of the aggregate losses
- Macroscopic limits for stochastic partial differential equations of McKean-Vlasov type
- Credit contagion and aggregate losses
- Interaction particle systems for the computation of rare credit portfolio losses
- Large portfolio losses: A dynamic contagion model
- Wandering random measures in the Fleming-Viot model
- Counterexamples in importance sampling for large deviations probabilities
- On Monte Carlo estimation of large deviations probabilities
- Introduction to rare event simulation.
- Large portfolio losses
- Default clustering in large portfolios: typical events
- A Hilbertian approach for fluctuations on the McKean-Vlasov model
- A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
- A stochastic evolution equation arising from the fluctuations of a class of interacting particle systems
- Stochastic simulation: Algorithms and analysis
- Large Deviations for a Mean Field Model of Systemic Risk
- Stability in a Model of Interbank Lending
- Sequential Importance Sampling and Resampling for Dynamic Portfolio Credit Risk
- ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT
- Importance Sampling for Multiscale Diffusions
- Importance Sampling for Portfolio Credit Risk
- Stochastic partial differential equations with unbounded coefficients and applications i
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
- On the McKean-Vlasov Limit for Interacting Diffusions
- MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Importance Sampling, Large Deviations, and Differential Games
- LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
- Utility valuation of multi-name credit derivatives and application to CDOs
- Default Clustering in Large Pools: Large Deviations
- Subsolutions of an Isaacs Equation and Efficient Schemes for Importance Sampling
- Stochastic Evolution Equations in Portfolio Credit Modelling
- LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK