Large portfolio credit risk modeling

DOI10.1142/S0219024907004378MaRDI QIDQ5169983zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3591295 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• scientific article; zbMATH DE number 3251076 (Why is no real title available?)
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• DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
• Fluid and diffusion limits for queues in slowly changing environments
• Invariant Integration Formulas for the n-Simplex by Combinatorial Methods
• Multiple channel queues in heavy traffic. I
• Stochastic-Process Limits
• Strong approximation for Markovian service networks
• Strong approximation theorems for density dependent Markov chains

Cited in

(20)

• Long range Ising model for credit risk modeling
• Versicherungsmathematische Risikomessung für ein Kreditportfolio
• Modelling default contagion using multivariate phase-type distributions
• Credit risk optimization using factor models
• Default clustering in large portfolios: typical events
• A default system with overspilling contagion
• Limit theorems for individual-based models in economics and finance
• Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
• Large portfolio losses: A dynamic contagion model
• Random thinning with credit quality vulnerability factor for better risk management of credit portfolio in a top-down framework
• Computational techniques for basic affine models of portfolio credit risk
• Long-range Ising model for credit portfolios with heterogeneous credit exposures
• On the simulation of portfolios of interest rate and credit risk sensitive securities
• Heterogeneous credit portfolios and the dynamics of the aggregate losses
• Large-Scale Loan Portfolio Selection
• About one descriptive model of granting credit limits
• Metamodel of a large credit risk portfolio in the Gaussian copula model
• Stochastic evolution equations in portfolio credit modelling
• A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
• Large portfolio asymptotics for loss from default

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