LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK

DOI10.1111/j.1467-9965.2006.00307.xzbMath1186.91227MaRDI QIDQ5427660

Wanmo Kang, Paul Glasserman, Perwez Shahabuddin

Publication date: 21 November 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00307.x

zbMATH Keywords

large deviations; Gaussian copula; multifactor model; portfolio credit risk

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

91G40: Credit risk

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The Topology of Central Counterparty Clearing Networks and Network Stability, Fast simulations in credit risk, Sample-path large deviations in credit risk, Recovery rates in investment-grade pools of credit assets: a large deviations analysis, Efficient estimation of large portfolio loss probabilities in \(t\)-copula models, Default clustering in large portfolios: typical events, NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS, PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS, EXACT PRICING ASYMPTOTICS OF INVESTMENT-GRADE TRANCHES OF SYNTHETIC CDO'S: A LARGE HOMOGENEOUS POOL

Uses Software

• CreditRisk+

Cites Work

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• Large portfolio losses
• Importance Sampling for Portfolio Credit Risk
• A First Course in Optimization Theory
• Probability