Recovery rates in investment-grade pools of credit assets: a large deviations analysis

DOI10.1016/j.spa.2011.08.005zbMath1235.60021arXiv1006.2711OpenAlexW2040826686MaRDI QIDQ645601

Richard B. Sowers, Konstantinos V. Spiliopoulos

Publication date: 10 November 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2711

zbMATH Keywords

large deviationsrecovery ratesdefault ratescredit assets

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Credit risk (91G40)

Related Items (7)

Inhomogeneous Financial Networks and Contagious Links ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ Stochastic Evolution Equations for Large Portfolios of Stochastic Volatility Models ⋮ Credit Risk Propagation in Structural-Form Models ⋮ Comparing the value at risk performance of the CreditRisk\(^+\) and its enhancement: a large deviations approach ⋮ Fast mean-reversion asymptotics for large portfolios of stochastic volatility models ⋮ Default Clustering in Large Pools: Large Deviations

Uses Software

• QRM

Cites Work

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• Implied recovery
• Large portfolio losses
• Coherent Measures of Risk
• Importance Sampling for Portfolio Credit Risk
• EXACT PRICING ASYMPTOTICS OF INVESTMENT-GRADE TRANCHES OF SYNTHETIC CDO'S: A LARGE HOMOGENEOUS POOL
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• Some Applications and Methods of Large Deviations in Finance and Insurance

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