Large portfolio credit risk modeling

DOI10.1142/S0219024907004378zbMATH Open1291.91221OpenAlexW2005456695MaRDI QIDQ5169983FDOQ5169983

Authors: Mark H. A. Davis, Juan Carlos Esparragoza-Rodriguez 

Publication date: 17 July 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004378

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• Large portfolio losses: A dynamic contagion model
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
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zbMATH Keywords

functional central limit theoremquadraturesstochastic networkfunctional law of large numbers

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Portfolio theory (91G10) Credit risk (91G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Stochastic-Process Limits
• Multiple channel queues in heavy traffic. I
• Strong approximation theorems for density dependent Markov chains
• Analysis of default data using hidden Markov models
• Strong approximation for Markovian service networks
• Invariant Integration Formulas for the n-Simplex by Combinatorial Methods
• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Fluid and diffusion limits for queues in slowly changing environments

Cited In (14)

• LARGE PORTFOLIO ASYMPTOTICS FOR LOSS FROM DEFAULT
• Credit risk optimization using factor models
• Heterogeneous credit portfolios and the dynamics of the aggregate losses
• Modelling default contagion using multivariate phase-type distributions
• Long range Ising model for credit risk modeling
• Versicherungsmathematische Risikomessung für ein Kreditportfolio
• Default clustering in large portfolios: typical events
• Limit theorems for individual-based models in economics and finance
• Computational techniques for basic affine models of portfolio credit risk
• Large portfolio losses: A dynamic contagion model
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Large-Scale Loan Portfolio Selection
• About one descriptive model of granting credit limits
• A default system with overspilling contagion

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