Large portfolio credit risk modeling

DOI10.1142/S0219024907004378MaRDI QIDQ5169983zbMATH OpenOpenAlexFDO

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 theoremfunctional law of large numbersquadraturesstochastic network

Mathematics Subject Classification ID

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

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Cites work

• Analysis of default data using hidden Markov models
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• 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)

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

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