Default Clustering in Large Pools: Large Deviations
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Publication:5250039
DOI10.1137/130944060zbMath1397.60063arXiv1311.0498MaRDI QIDQ5250039
Richard B. Sowers, Konstantinos V. Spiliopoulos
Publication date: 15 May 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.0498
60F10: Large deviations
91G80: Financial applications of other theories
60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)
91G40: Credit risk